Second-half substitute Pablo Sarabia scored PSG's final penalty in the shootout after goalkeeper Keylor Navas had saved Bertrand Traore's spot kick to give the Ligue 1 champions and French Cup winners their ninth League Cup trophy. It was the last roar for the competition, which was founded in 1995, as the French Professional Football League (LFP) decided in September to scrap it as of next season until further notice.
The LFP had failed to secure a broadcaster for the 2020-2024 period but reserved the right to relaunch the competition in the future.
PSG, who beat Saint-Etienne 1-0 in the French Cup final last Friday, will have a chance to complete a quadruple as they face Italian side Atalanta in the Champions League quarterfinals on Aug. 12 in Lisbon.
The capital club's chances of obtaining its first ever Champions League trophy will be diminished due to Kylian Mbappe's ankle injury, which he obtained in that win over Saint-Etienne.
Lyon keeper Anthony Lopes made a string of good saves in a cagey contest played in front of 5,000 fans at Stade de France, who were allowed into the stadium in line with coronavirus safety regulations.
Lyon defender Rafael da Silva was sent off in the last minute of extra time for a professional foul on Di Maria and Neymar blazed the free kick over the bar.
The Brazilian held his nerve to keep PSG alive in the shootout before Navas blocked Traore's penalty and Sarabia calmly slotted his shot past Lopes to spark wild celebrations among his team mates.
PSG's win over Lyon also means that Stade Reims, who finished sixth in the French League, have snapped up a berth in next season's Europa League qualifying.