The first leg at the Sky Dome last Wednesday finished 1-1 and the Blaze's poor record in Northern Ireland continued when Paul Thompson's side fell behind on 4.34 when Colin Shields scored from a Steve Thornton assist.
Both sides had ten shots in the opening period but 2.36 into the second, Jason Rushton put Belfast further ahead when he fired home from a Mark Morrison assist.
Belfast only had eight shots compared to the Blaze's eleven in the second period and Coventry kept up the pressure on the Belfast goal as the third period started.
On 42.22, Blaze got back in the match when Dane Erik Hjalmarsson scored from assists by Jon Weaver and Sylvain Deschalets.
But with less than three minutes remaining, Steve Thornton sent Belfast into the final with a third goal from an Andrew Martin assist and then George Awada added a fourth on 58.39, assisted by McMillan and Chevrie.
On Saturday, the Blaze travel to Manchester Phoenix then on Sunday,take on Cardiff Devils at the Sky Dome (face off at 6pm).
The All-Star game will take place on Thursday 19th of February at the Sky Dome with a 7.30pm face-off, and tickets are already on sale priced at £15 for Adults; £7 for U-16; £10 for Concessions and Family Tickets (2 Adults and 2 U-16) at £38.
Blaze Coach Paul Thompson will manager the Southern team with Dave Matsos in charge of the Northern team