The Canaries were forced to respond on Thursday evening after the Clarets posted a statement on their website but McNally insists there was never any chance of Lambert leaving.
He told BBC Radio Norfolk: "I was alerted that Burnley, for some bizarre, very difficult to explain reason, had decided to put on their website that they had asked for permission to speak to Paul about their vacancy.
"That really was unusual, unexpected and I have to say unprofessional of them.
"It meant we had to get something out to say that we would absolutely make certain that Paul Lambert stayed manager of Norwich City and he was certainly not going to Burnley, there was no question of that."
Source: PA
Source: PA