With their want-away Brazilian superstar left out of the trip to the former Portuguese colony, PSG were seconds from victory before Samuele Longo's injury-time equaliser made it 1-1.
Inter goalkeeper Samir Handanovic saved from Adil Aouchiche and then Arthur Zagre before Mario stepped up to slot the winner for Inter, who edged the penalties 6-5.
The win for Antonio Conte's side comes just days after they lost to Italian rivals Juventus on penalties in a friendly in China.
Neymar, linked with a move back to his former club Barcelona, remained in China's Shenzhen, PSG's previous stop on their Asian tour, while his team-mates flew to gambling enclave Macau.
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In a scrappy game in sweltering Macau, Inter were quicker out of the blocks forcing three fine stops from PSG's Alphonse Areola in the first 10 minutes.
New signing Stefano Sensi and Ivan Perisic were instrumental in the early Inter attack, producing quick probing passes and causing problems behind the PSG defence.
In Neymar's absence it was French World Cup-winner Kylian Mbappe who drew cheers from the 8,800-strong crowd with his driving runs, although he was often let down by his final touch.
Just before half-time Mbappe was brought down by Milan Skriniar and new signing Pablo Sarabia floated a free kick which a climbing Thilo Kehrer glanced into the net.
Inter leapt into the attack in the second half, with Perisic jinking his way into the box to force another fine save from Areola, before sending the rebound soaring over the bar.
Inter continued to squander chances, with the heat adding to their frustration, with Perisic seeing another chance creep over on 78 minutes.
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But in the last minute of injury time substitute Longo picked up a bobbling pass trickling through the PSG box to drive the ball into the bottom corner, past the otherwise rock-solid Areola, who thumped the ground in frustration.
Penalties went to sudden death after PSG's Adil Aouchiche's effort was stopped by Handanovic, but Antonio Candreva's cheeky attempt to chip Areola backfired and glanced off the crossbar.
It was up to Handanovic to make another fine stop from Arthur, before Mario calmly buried the crucial kick.
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