United (1-0-5) sit bottom of the table with just three goals in their opening five games and have lost four on the bounce.
But Aloisi's charges spurned multiple huge goal scoring opportunities in their 3-1 loss to Adelaide United.
"I don't think he (Aloisi) should be under pressure," Wales said.
"He's done a magnificent job here to turn the club around; to set a culture, to make it an enjoyable workplace.
"All the players love playing under John and he's a great coach. You don't go from winning something and then become a bad coach overnight.
"So it's nothing to do with him, and the performances have been good.
"It's putting a bit more responsibility on ourselves as players to step up in those big moments.
"Because when you have that many chances in a game of football, you can't blame the coach or the information you're getting. It's up to the players to finish them."
Lachie Wales has scored two goals in five ALM games this campaign for Western United. (James Gourley/AAP PHOTOS)
Wales, who plays his 150th ALM game against Wellington in Ballarat on Saturday, noted he was among the main culprits against Adelaide, scoring one goal but missing several gilt-edged chances.
"On the weekend I took responsibility and apologised to the players," he said.
"It wasn't good enough from me. Sometimes you just need to get that off your chest so you can move forward and come on to this week and try and be a better player."
Chances could well be few and far between against the second-placed Phoenix, who have conceded just four goals in five games, with young goalkeeper Alex Paulsen in red-hot form.
"They're fighting for each other, they're disciplined, they're fit," Wales said.
"We were there a couple of years ago where you're the underdog and you win a couple of games and your confidence grows and everything just seems to fall your way, the young keeper's on fire.
"So we've all been there as well and to break their momentum, you just need to keep persistence and maybe an early goal will help us settle into the game a bit better and make them come out of their shell a bit more."
John Aloisi's Western United are bottom of the ALM table after five rounds. (Dan Himbrechts/AAP PHOTOS)
Aloisi planned to lean into quick ball movement to help unlock Wellingtons' defence at Mars Stadium.
"They're a good side, we've watched them play away and at home," he said.
"Without the ball, they're a well-structured team defensively.
"So we have to be moving the ball quick and trying to create those openings in the final third for us."
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