United surrendered a 3-0 lead but saw off Coventry in the penalty shootout.
Onana said: "It's a mixed feeling. We went through, that's why we came here.
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"It was a tough game at the end. We were in control. After so many individual mistakes we conceded three goals. The most important thing is to win. We have to look forward to the coming games.
"Somehow we lost control of the game.
"We are Man Utd. We must win. We feel good, we feel happy to be in a final. We'll come back here to win.
"The most important thing is the victory. We're in the final, that's what matters."