I would say luck was not with Mourinho. It cannot be said that Roma lost with a poor performance. Roma's players performed well. I would even say Roma players performed better than Sevilla. The referee made some bad decisions. Also, the match was drawn due to Gianluca Mancini's mistake. This is nothing but bad luck. Mourinho should not despair and start all over again. Hopefully we will see more organized and strong performances from Roma next season.
This is not talking about luck because Roma's defeat is not too embarrassing in my opinion, they have played their best, better than Seville, the final score was a draw and made the match go to penalties, this is where the winning mentality is needed, it seems that Roma don't have a winning mentality so they can't take chances from penalties, Sevilla already has a winning mentality in this championship so Sevilla is lucky and more worthy of winning the European league this season.
There is still time to improve for Roma next season, Mourinho has given his best and arranged for his team to play with a neat strategy, that's why it seems that Rome was ahead, even though in the end Roma lost in a final, a defeat that was not embarrassing in the final According to me.
I wouldn't say Roma's defeat was embarrassing. Sevilla won the title, Sevilla definitely deserves the title. Sevilla qualified for the final after beating the likes of Manchester United and Juventus. They qualified for the finals by performing well. However, Roma's performance was better than Sevilla's in the final. However, Sevilla were very tactical in this match. And good strategy was one of the reasons Sevilla became champions.
Mourinho has tried his best to win the Europa League title. But he could not succeed. It is expected that he will continue to try to strengthen the team in the coming season.