His effort included stopping a penalty shot, and Petr Nedved scored for the second straight game.
Markkanen took down Eric Meloche at 8:38 of the second period. Meloche's shot went into the net, but was not awarded a goal because he crashed the net and dislodged it. Markkanen blocked the penalty shot with his left pad.
Shortly after serving a high-sticking minor, Nedved took a pass from Mark Messier and scored on a breakaway for his 11th goal and a 2-0 lead with five minutes left in the second.
Messier also set up Dan Lacouture's first goal since Nov. 1, giving the Rangers a 1-0 lead just 1:50 into the game.
New York has outscored the Penguins, 14-4, in winning all three meetings between the two teams this season.