He joined United from Dortmund for 85 million euros ($92 million) in August 2021 but failed to hold down a regular spot and returned to Germany on loan in January after becoming embroiled in a row with manager Erik ten Hag.
Dortmund, who finished fifth in the Bundesliga, are vying for their second Champions League title after their 1997 triumph.
"To be fair, it felt surreal. Again, it still hasn’t hit me," he told CNN in an interview published on Thursday.
"It’s kind of crazy, you know, I don’t think anyone would have expected this – me being in the Champions League final, especially where I came from? I’m just happy."
Sancho added that he was eager to play against his former Dortmund teammate Jude Bellingham in the final and said he would be challenging Real teammate Vinicius Jr for the Ballon d'Or.
