Vallecano overcame Strasbourg in the other semi-final on Thursday evening.
The La Liga club held a 1-0 aggregate lead from the first leg in Spain and won 1-0 on the night to secure a 2-0 aggregate victory.
Palace booked a place in Leipzig after a 3-1 win in the second leg secured a 5-2 aggregate win over Shakhtar at Selhurst Park.
Like Palace, it will be Vallecano's first European Cup Final. Their previous best run in Europe before this season was in 2000/01 when they reached the UEFA Cup quarter-finals.
The two sides will meet in the Leipzig Arena on Wednesday, 27th May at 20:00 BST/21:00 CEST for the UEFA Conference League trophy.