The German side became the first team to defeat the French champions in normal time in 120 games.
Favourites Lyon, who were appearing in their fourth straight final, dominated for large parts of the match but were unable to find a breakthrough at Chelsea's Stamford Bridge stadium.
Wolfsburg, who were playing in the competition for the first time, struck the decisive blow when Mueller converted from the spot with 17 minutes of the game remaining after Laura Georges had handled.
German sides Bayern Munich and Borussia Dortmund will contest Saturday's men's Champions League final at Wembley stadium.
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