"I was trying to go away to get a ground-ball double play, " Leon said, "but I didn't execute very well the way I wanted to."
The last time the A's allowed an extra-inning grand slam at home was in 1989, when the Red Sox's Dwight Evans hit one off Dennis Eckersley.
Leon, who was recalled from Triple-A Nashville on Monday, is expected to have a longer-than-usual stint with the A's this time around, but it didn't get off to the start he was looking for.
The right-hander allowed singles to Caleb Joseph and Manny Machado to open the inning. The A's elected to intentionally walk Gerardo Parra to load the bases with no outs.
"We got the popup from Jones, which is a pretty tough customer to have to deal with there," manager Bob Melvin said, "and now we are in a position to get a double play."
Instead, Davis hit his second slam of the season, the sixth of his career and the O's fifth in extra innings since 1980.
"[The count] goes to 3-2," Melvin said. "The ball was down, but Davis is a pretty good low-ball hitter, and in a 3-2 count he was looking for a fastball there."
Trevor Hass is an associate reporter for MLB.com. This story was not subject to the approval of Major League Baseball or its clubs.