A 3-1 success for Bilbao, chasing their first continental title, and the presence of their compatriots and 2010 winners Atletico, who won 1-0 on the night, in the May 9 showpiece in Bucharest may help ease Spanish pain in Europe this season.
The country's two heavyweight clubs, Real Madrid and Barcelona, were dumped out of the Champions League this week.
Towering striker Llorente was the hero at a typically vibrant San Mames, setting up Bilbao's first two goals and then pouncing to volley the crucial strike two minutes from time that took the Basques through 4-3 on aggregate.
"This is incredible," Llorente said in a television interview, struggling to make himself heard over the fans celebrating wildly in the stands.
"It's the first time I have felt like crying on a football pitch," added the Spain international, whose nickname is the Lion King due to his mane of thick blond hair. "That was without doubt the most important goal I have ever scored."
Atletico won last week's semi-final first leg at their Calderon stadium 4-2 and when Adrian powered home a stunning goal from wide on the right on the hour at the Mestalla Valencia's hopes of turning the tie around were crushed.
Diego Simeone's side had midfielder Tiago sent off in the 79th minute after players from both sides became involved in an ugly melee and the Portuguese slapped Valencia striker Roberto Soldado across the face to earn a straight red card.
It all came too late for the home side and Atletico cruised to their 11th straight win in Europe this season as they claimed a 5-2 aggregate success.
"We knew it would be difficult and they pressured us well, which is to be expected here at the Mestalla," Simeone said in a TV interview.
"In the second half we made a tactical change and didn't suffer as many problems and we knew as time went on the spaces would open up and the goal pretty much settled the tie."
The last time two Spanish teams contested the final of the competition formerly known as the UEFA Cup was in 2007, when Sevilla beat Espanyol on penalties after a 2-2 draw.
Athletic were the only side in the last four never to have won a European trophy, their only previous final coming in 1977 when they lost the UEFA Cup showpiece match to Juventus before most of the current squad were even born.
Marcelo Bielsa's side grabbed the opening goal on Thursday when Llorente cleverly chested a cross into the path of Markel Susaeta who volleyed past Rui Patricio from close range.
Both sides drove forward at every opportunity and both had chances before Sporting pulled level on the night in the 44th minute when the ball fell to Dutch striker van Wolfswinkel on the edge of the penalty area and he fired low into the corner.
Sporting's aggregate lead lasted a mere two minutes before Llorente got his second assist when he set Ibai Gomez clear to finish with a shot into the far corner in first half added time.
The second period followed a similar pattern to the first, Bilbao's Javi Martinez heading against a post from a corner and Emiliano Insua also striking the frame of the goal with a powerful deflected low drive for Sporting.
With extra time looming, Llorente nipped in front of his marker and diverted a Gomez centre in off the post to send the home fans into raptures.
"It's the dream final," Susaeta said.
"The atmosphere was spectacular and we still haven't grasped what we have done," he added. "Tomorrow we'll analyse it but we do know we have done something great."
At the Mestalla, Valencia poured forward in search of an early goal to start the fightback but ran up against inspired Atletico goalkeeper Thibaut Courtois, on loan from Chelsea, who kept them at bay.
The hosts had one of their brightest performers on the night, Sergio Canales, carried off on a stretcher in tears with what looked like a serious knee injury in the 59th minute and almost immediately Adrian ended the game as a contest.
Diego sprayed the ball to the Spanish youth international wide of the area and he chested it down and struck a spectacular volley inside the far post.
"I controlled the ball and just put everything into the shot and it went in," Adrian told Spanish TV.
"We knew they would come out at us strongly. We knew we had to defend well and that's what we did. We withstood the pressure and in the second half we were able to win the game.
"It says a lot about Spanish football that we have two teams there and it should be a great final."
Atletico also beat Valencia in the quarter-finals in 2010 on their way to winning the competition with an extra-time 2-1 victory over Fulham in Hamburg.