Pegula and Coco Gauff lost the women's doubles final 6-1 6-4 to Victoria Azarenka and Beatriz Haddad Maia on Sunday and none of the players were given the chance to address the audience.
The men's doubles finalists were allowed to do so following their match a day earlier.
"What happened in Madrid, it was really disappointing. I had a feeling something was going to happen," Pegula told reporters on Tuesday ahead of the Italian Open.
"Did I think we were not going to be able to speak? No. I've never heard of that in my life. I don't know what century everyone was living in when they made that decision."
Reuters has contacted organisers for comment.
BBC Sport quoted organisers as saying of the decision: "The tournament will not comment on the matter."
Gauff said the issue was not about the speech itself.
"I have a lot of finals, so it's not about that," she told reporters. "It's more about the principle behind it, so this can't happen again for future girls, take the opportunity away from them."
Azarenka said on Twitter that it was "hard to explain" to her son Leo that she was not able to speak at the trophy ceremony.
