If you exclusively watched Atalanta in the Champions League this season, you might have concluded this Cinderella story had reached midnight. Thrashed 4-0 by Dinamo Zagreb, and then beaten at home by Shakhtar Donetsk, the debutants are rushing to exit the European ball they wished so desperately to attend.

Their run could effectively be ended by Manchester City over the next two match days, starting at the Etihad Stadium on Tuesday night.

There are no happily-ever-afters for football fairytales. Financial realities always come to bear eventually and Atalanta remain a team representing a town of little more than 100,000 people. Even after rewarding their best players with new contracts in the summer, their wage bill does not make it into Italy’s top 10 (though it is far larger than Dinamo’s …).

For Atalanta to finish third in Serie A last season required richer clubs to underperform, while Duván Zapata, Josip Ilicic and Papu Gómez produced the best football of their careers. Neither scenario could endure indefinitely.

And yet, the truth is neither has unravelled just yet. Notwithstanding their European struggles, Atalanta have begun their domestic campaign in magnificent form. Heading into the international break, they were third and top of the scoring charts – with 18 goals in seven games. Only three points separated them from the league leaders, Juventus.

They returned on Saturday for a daunting match away against Lazio. Their previous trip to face these opponents at the Stadio Olimpico, for the Coppa Italia final in May, ended in a 2-0 defeat. This time, Atalanta would be without Zapata, their top scorer, after he strained an adductor playing for Colombia.

By the 37th minute, they were 3-0 ahead. If anything, their lead could have had been even bigger. Atalanta were spell-binding, shredding Lazio’s defence with the speed and directness of their interchanges.

Gian Piero Gasperini redesigned his attack in Zapata’s absence, deploying Mario Pasalic and Ruslan Malinovskyi as twin supports to Luis Muriel up front – operating on the left and right respectively. Gómez was given licence to travel precisely wherever he wanted – thwarting Marco Parolo’s intention to restrict him from the base of midfield.

The first goal was a thing of beauty, Pasalic launching the attack when he returned Robin Gosens’s pass with a first-time backheel. The latter player hurdled a defender and carved inside, running beyond Muriel and just far enough to persuade the defenders to turn with him before cutting a pass back to the Colombian for a simple finish.

Muriel would score Atalanta’s second, too – his fifth goal in six appearances since joining from Sevilla (via a loan at Fiorentina) in the summer, despite the fact it was only his second start. By the time Gómez ran on to Rafael Tolói’s through-pass for the third, the contest appeared to be over.

It was anything but. Atalanta, for all their glorious attacking play, have been rather less brilliant at defending. They gifted Lazio a way back when José Palomino took a clumsy second nibble at Ciro Immobile inside the box, his heel landing just barely – but enough – on the striker’s little toe.

Gian Piero Gasperini redesigned his attack for Atalanta’s visit to Lazio in Serie A on Saturday. Photograph: Angelo Carconi/EPA

Immobile converted in the 69th minute. Within seconds, it was 3-2, Remo Freuler’s misstep allowing Joaquín Correa to get behind him and bury a shot into the roof of the net.

Even then, Atalanta should have won. In the 89th minute Ilicic, on as a substitute, fed Gómez with a cross from the right. The Lazio goalkeeper, Thomas Strakosha, was out sharply to deny him but it was remarkable that in among the subsequent pinball of passes and blocked shots nobody found a way to force the ball across the line.

Instead, the visitors completed their collapse in injury time, gifting Lazio a second penalty. Immobile was fishing for it with a deliberate step across Marten de Roon as the defender lunged after the ball but the result was a clear penalty, despite Gasperini’s protests.

A 3-3 draw scarcely felt credible in light of the one-sided first half, when Atalanta had seven shots on goal to Lazio’s none. The sense of giddy disbelief inside the Olimpico was best summed up by Immobile’s celebration as he attempted and failed to rip off his shirt, pulling it up over his head and then falling over sideways.

For Atalanta, it was hard to know whether this performance should be viewed as encouraging or alarming before the visit to City. They had shown again they are no flash in the pan, comfortably outplaying opponents with greater resources. But they have now kept just a single clean sheet in 10 matches across all competitions. Such generosity will be punished harshly at the Etihad Stadium.

Either way, do not expect Atalanta to take a step back. In an interview with Sky Sports, Gómez said his team “must try to dictate the play [in Manchester] as we always do in the league”. He is not naive to the likely consequences. “Let’s recognise that City are at much higher level than Atalanta,” he said, “and maybe than any other team in Europe.”

Perhaps Cinderella is not dashing for the exit after all. She knows she will be turfed out of the Champions League party sooner or later. What Gómez and his colleagues hope, at this stage, is that the world will at least get a glimpse of how well she can dance, before those diamond shoes come off.

Talking points

• Goals! Goals! Goals! Seven at Mapei Stadium, where Internazionale very nearly imitated Atalanta as they went from 4-1 up and cruising against Sassuolo to barely clinging on at 4-3. Six more at the Tardini, where Parma walloped Genoa. Thirty-one in total across the weekend’s nine games and a few absolute gems in there as well, from Radja Nainggolan’s thunderous half-volley to Hakan Calhanoglu finding the angle for Milan and Jérémie Boga weaving through the Inter defence.

• Nainggolan had tears in his eyes after the goal which he dedicated to his wife, Claudia, who has been undergoing chemotherapy after being diagnosed with breast cancer. His goal was a continuation of good things on the pitch since he returned to Cagliari, whose 14 points from eight games represent their best start in the era of three for a win.

• No goals for Claudio Ranieri, though, as he celebrated his 68th birthday by guiding Sampdoria to a 0-0 draw with Roma in his first game in charge. A dreadful game, but a good result for the Blucerchiati.

• Stefano Pioli’s first game in charge at Milan also ended in a draw, albeit a far less satisfying one at home against Lecce. Milan were a goal and a man up heading into injury time, too. I would still argue this was a game to find positives in, from the performance of Calhanoglu – who also set up Milan’s second – through to Krzysztof Piatek scoring his first goal in five games.