But Welbeck got the victor with a powerful downward header ten minutes before the end to bag the win for Arsenal, in a game which saw late dismissals for Jack Stephens and Mohamed Elneny.
Both Aubameyang and Granit Xhaka forced top end saves out of McCarthy in the first three minutes of the second half.
The second half began with McCarthy making impressive saves from Aubameyang, Granit Xhaka and Iwobi to underline why he is keeping England worldwide Fraser Forster out of the Southampton team.
Some players take a while to adjust to the pace of the Premier League.
"It's just how they finish, they finish all the time and it's a toe poke".
Welbeck scored a late victor for Arsenal to inflict more misery on Mark Hughes' Southampton side.
"Clearly we have got talented players, you saw that today". But the unsavoury incidents of two red cards apiece for both teams would be the shattering anti- climax in an entertaining encounter.
The Gunners have a 4-1 advantage from the first leg.
Southampton are three points behind 17th placed Crystal Palace but with a game in hand.
The hard luck tales kept coming on Sunday.
Danny Welbeck then put the Gunners ahead after cutting inside and firing a right-footed shot that flew off the back of left-back Maya Yoshida and past keeper Alex McCarthy to put the home side 2-1 up seven minutes before the interval.
But if they keep alive the battling spirit they displayed against Arsenal, they might still make it to safety.
Astonishingly, Arsenal was in the lead just 10 minutes later, through Welbeck.
Pierre-Emerick Aubameyang of Arsenal celebrates with team mates after scoring his sides first goal during the Premier League match between Arsenal and Southampton at Emirates Stadium on April 8, 2018 in London, England.
He'd get his goal in the 81st minute, stabbing home a header at the back post from an Iwobi cross.
The away side was denied another good chance to score when Mohamed Elneny headed clear under the crossbar from a Wesley Hoedt header before a super save from Cech to tip away a Long header.
In fact, only Wayne Rooney (seven) and Robin van Persie (six) have scored more Premier League goals against Petr Cech than Shane Long (five). "We had the mental resources to win the game".
"His game is about going past people, about taking them on, and overall I believe he's shown he has the necessary tactical and technical level". But Mark Hughes' men would not be deterred as they ignited a comeback drama that would see a frantic, suspense- filled end to end exchange at the Emirates.