All four players missed last Saturday's draw at Chelsea and Tuesday's Champions League defeat against Juventus having returned to the club carrying problems.
Whereas England's Luke Shaw and Serbia's Nemanja Matic travelled back to Manchester shortly after sustaining injuries, Mourinho claims Chile, Belgium, Portugal and Scotland unnecessarily held onto their players.
The United manager said this left United in a position where they had 'no idea what is going on'.
"We play against Newcastle and we go to the national team period in a good situation and then after two weeks we lost Dalot in Portugal, Fellaini in Belgium, Alexis with Chile, we lost who else? McTominay with Scotland.
"Some of them the national teams, they were very professional with us and send the players back and we could start the process early, but some of them wouldn't and they kept the players.
"We didn't even know the dimension and nature of injuries so when the players arrive two days before Chelsea, we have no idea what is going on."
Sanchez and Fellaini are carrying groin problems, while McTominay suffered a minor knee injury and Dalot picked up a knock.
Mourinho has also recently been forced to do without Jesse Lingard, who he claims has played with a groin injury since World Cup, though United hope to have him available for Sunday's game.
"We try to solve problems step by step and if Jesse can be available and give us some help, McTominay is normally in condition and we have to wait some more for those other players."
"[Lingard] came from the World Cup with that problem, he thought wrongly that the holiday period would bring things to normality, then he thought wrongly that keep working or start working would improve.
"Then he felt in an impossible situation to play football, so now he's going back and to do the work to try and be 100 per cent. In this moment, he's almost there because of the team's needs.
"Can he help us in the next match? That is the question we have to answer tomorrow or if we wait one more week of stability for the work, so he's almost there."
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