Top-seeded Zverev defeated Alejandro Davidovich Fokina 7-5, 7-6 (3) in the semifinals.
The 20-year-old Auger-Aliassime also beat a Spanish opponent and second-seeded Roberto Bautista Agut, 6-3, 1-6, 6-3.
The Canadian will be going for his first title in Sunday's final -- his sixth -- while Zverev is bidding to make up for some of the disappointment of losing the U.S. Open final to Dominic Thiem.
Zverev said he still thinks about it "20 to 25 times a day."
The Cologne Indoors is the first of two consecutive competitions the city is hosting as part of the ATP calendar which was rescheduled due to the COVID-19 pandemic.