Bayern were fresh off an 8-2 semifinal thrashing of Barcelona, but it was Lyon that looked the livelier of the two sides with Memphis Depay nearly opening the scoring inside of 10 minutes for the underdogs.
Gnabry then made Lyon pay for their missed chances, picking up a pass on the right flank, cutting all the way across the top of the penalty area and firing home with his left foot to give Bayern the lead.
Bayern doubled their lead shortly after the half-hour mark with Gnabry getting his second from close range when the ball fell to him following a goalmouth scramble to send his team into half-time ahead 2-0.
Lyon were left rueing more wasted chances in the second half, with Moussa Dembele particularly guilty of shooting right at Neuer after coming on as a substitute in the 58th minute.
After the match, Bayern full-back Alphonso Davies said: "It feels good. Everyone is happy and playing well. We are happy to make it to the final. PSG is a good team, right now we celebrate a bit then we focus on the next game.
"It will be a good game, there will be goals in that game. This is what you dream about as a footballer, playing with the best and against the best in Europe."
PSG and Bayern, who have now reached a sixth Champions League final, are both shooting for season trebles after winning their respective leagues and cups in domestic competition.
Bayern boss Hansi Flick said: "Paris are a great team, they fought their way into the semi-final and then reached the final. We will analyse some things, we know they have quick players.
"We will look to organise our defence, but we know our biggest strength is putting our opponents under pressure."