The Saints have been charged with a breach of English Football League regulations after Middlesbrough accused them of spying on a training session this week.
The allegations of unauthorised filming by someone connected to Southampton came two days before Saturday's 0-0 draw between the clubs in the play-off semi-final first leg at the Riverside Stadium.
Hellberg was still coming to terms with the astonishing incident after watching his side waste a series of chances to exact revenge on Southampton in a tense clash.
"It's a weird situation. Couldn't believe my eyes or ears when heard it, couldn't believe it when someone told me for the second time or the third," he said.
"But if someone makes decisions to go and try to cheat, that's clear and it will be interesting to see what happens with that."
Hellberg said it was a "massive advantage" for Southampton to be able to watch training, pointing to the fact they played in the first half with a formation they had never used before.
The Middlesbrough manager slammed Southampton's lack of respect for the rules after an incident that had striking similarities to a situation with Leeds in 2019.
Marcelo Bielsa, then manager of Leeds, paid a fine for sending someone to watch Derby train, with the Football League introducing a new rule preventing teams from watching training sessions within 72 hours of a match.
Hellberg claimed a fine would not be enough of a punishment or deterrent.
"Who'll get the fine? Should they pay the EFL? OK, so they see everything we do...I don't know," he said.
"We'll see what happens. I just think it's weird that they do that and try to cheat in this type of game to be fair.
"To be fair, I think a lot of clubs will pay that amount to try to get that advantage of seeing the two sessions before a game that is of this magnitude.
"I think a lot of clubs will pay that. But it's not legal, so they wouldn't do it."
Asked if Saints should be kicked out of the play-offs, with Tuesday's second leg at St Mary's to come, Hellberg added: "That's not my decision to make. I'm just telling you what it is."
"It's not only us. I think every team in the in the Championship should be angry."
Southampton boss Tonda Eckert walked out of his post-match press conference after being peppered with questions about the scandal.
"I think the club has made a statement yesterday evening. I think that's all there is to say at the moment," he said.
"I think we can talk about this and I know that these questions are coming up, but I think we shouldn't get distracted by the importance of those two big games."