But Latics chief executive Brenda Spencer says the 31-year-old has said he is happy at Wigan.
The Latics will not owe Darlington any compensation because of the League Two side's financial situation.
Royle began his managerial career with the Latics, spending 12 years at Oldham between 1982 and 1994.
The Latics led twice at Carrow Road, with Martin equalising both times, before Simon Whaley got the winner.
Victor Moses fired the Latics ahead after cutting in from the left flank.
They started the second half nervously, as Lee McCulloch and Roberts both blasted good chances over for the Latics.
The Latics go into Sunday's game at the Millennium Stadium as huge underdogs.
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Penney replaces Joe Royle, who took temporary charge of the Latics in March after the departure of John Sheridan.
The Latics keeper later saved from Mikael Silvestre and saw a Rooney strike flash just wide of his goal.
Everton upped their intensity and urgency after the break and, in turn, increased the threat on the Latics goal.
The 35-year-old remains a close friend of Latics chairman Dave Whelan, the man who convinced him to join the club in 1995.
The Latics lost 3-0 away to Yeovil on Saturday in what turned out to be Penney's final game in charge.
The Latics were on top after the break but Vennegoor of Hesselink met Dean Marney's corner to head Hull in front.
The Latics could have doubled their lead when Reto Ziegler was released by Roberts but he drilled his shot narrowly over.
Martinez has emerged as a strong contender to take over as Wigan boss, if current Latics incumbent Steve Bruce is tempted away to join Sunderland.
Louis Saha missed a gilt-edged chance when Wigan keeper Ali Al Habsi blocked his strike before Tim Cahill's header hit the Latics post.
Suddenly it was the Latics who were back on top and it took a good save from Green to keep out Charles N'Zogbia's free-kick.
The Latics began the game well, looking composed with the lion's share of possession, without creating anything of meaning to hurt the home side.
The Latics took until the 87th minute to respond when Myhill spilled Jordi Gomez's cross-shot and Sinclair reacted quickly to nod home the rebound.
And the Latics should have taken the lead after three minutes but Ryan Taylor's free-kick was volleyed wide from six yards by Lee McCulloch.
Latics manager Roberto Martinez said he was disappointed to lose the services of the England Under-21 international, but was happy with the fee he achieved.
Despite initial success with the Latics he was sacked in May last year with the club just four points above the League One relegation zone.
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On Sunday, United's assistant manager Mike Phelan delivered a similar appraisal of Rooney's chances of facing the Latics in the Premier League clash at Old Trafford.
Martinez, who took over as Latics boss this summer after leaving Swansea, had Gomez on a year-long loan in Wales last season from the Spanish side.
The Latics stay 14th in the Premier League, now two points above the drop zone, while Bolton go above Burnley but remain in the relegation places.
The Latics priority is staying in the Premier League, as evidenced by boss Roberto Martinez making eight changes to the side that drew 1-1 at Bolton in midweek.
And on the stroke of half time the Latics were denied a penalty after Vidic hauled down N'Zogbia but Wigan's appeals were waved away by referee Martin Atkinson.
The Latics boss Steve Bruce replaced Mario Melchiot with the more attack-minded Jason Koumas at the interval and the visitors made a blistering start to the second half.
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The Latics travel to Stamford Bridge next week with Manchester United needing them to get at least a draw against Chelsea to keep Sir Alex Ferguson's title hopes alive.
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