Coman saved his best for last with a superb effort, turning the Atletico defence inside out before firing home on 72 minutes.
Sancho, 20, has been a long-term transfer target for United as they look to build on finishing third in the Premier League last season.
Deeney's penalty was not enough to prevent Watford losing 3-2 at Arsenal.
Arteta has improved the side since landing his first managerial role in December
Ole Gunnar Solskjaer admitted Manchester United are a "different team" from the sluggish side that started the season after extending an unbeaten run to...
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