The game between the two Dubai city rivals was settled with a brace from Senegalese striker Makete Diop in the fifth and 77th minutes.
Gyan was sent on as a 72nd minute substitute to shore up the attack with Al Ahli leading by the lone goal. He missed an opportunity to double the lead before Diop put the game beyond their rivals.
Ghanaian Nana Poku played for Shabab.
The League Cup victory is consolation for Al Ahli who are on the verge of surrendering their league title to Al Jazira.
The 31-year-old Black Stars captain has now won seven titles in the United Arab Emirates, including three Arab Gulf League titles (won with Al Ain), a Presidents Cup and two Super Cup titles.
Gyan is on loan from Chinese Super League club Shanghai SIPG.