Three weeks ago, the Blaugranes defeated Bayern Munich 1-0 in both semi-final legs to became the first Spanish side to reach the final.
Three years ago, Barcelona came close to reach the final but were denied by PSG after a 5-1 aggregate loss in the semi-finals.
Oshoala, who has continued to deliver goals for Llius Cortes' side, has contributed seven goals in seven league matches.
And the former Arsenal and Liverpool star boasts that her side are currently the best in the world as they aim to become the 10th different Champions League winner.
"It will be a hard duel. It will not be easy for us, but not for them either," Oshoala told Spanish newspaper, Sports.
"It is obvious that they are favourites but for that reason, the pressure is all yours. For us it is the first time, we will try not to revalidate the title.
"They are very big in Europe, but Lyon is not the best team in the world, that's Barca. We have nothing to lose.
"It's the last game of the season and even knowing that the World Cup is just around the corner, it's going 100% or nothing.
"You have to give everything. We have come this far with our game for something."
Oshoala will hope to bring her fine form to bear in Budapest in a bid to inspire Barcelona to European success.