"I feel more frustrated having lost on penalties."
"It's worse having lost on penalty kicks."
"It's even more frustrating ~"
"I feel more frustrated having lost on penalties."
"I feel more frustrated" 「[より悔しい](https://eikaiwa.dmm.com/uknow/questions/1365/)」
"having lost on ~" 「〜で負けてしまったから」
"penalties" 「PK」"penalty kicks" も言えます。
"It's worse having lost on penalty kicks."
"it's worse" 「より悪い」・「より悔しい」
"It's even more frustrating ~" 「より悔しい」"frustrating" の代わりに "annoying" や "disappointing" もつかえます。