You know what? Your idea may work. Dortmund have proven they can compete with the big boys. Shutting out Mbappe over two legs? No small feat! Yes, anything can happen in a final.
Dortmund played well in semi final matches against PSG but their clean sheet is from their strong defense and luck support too. Without luck support and some bad finishes from PSG, Dortmund would have not had a clean sheet after two semi finals.
Anyway from semi final clean sheet, Dortmund will start the final match with very strong confidence on their defensive ability and this will be foundation for surprise they can make in the final match.
Just look at Europa League events. Even though Leverkusen were the favorites, Atalanta had other intentions. It shows that underdogs may succeed under duress and large stakes. If Dortmund can hold things tight at the back and weather Real's early storm, who knows? Perhaps they can surprise. Madrid has talent all over the pitch, so it won't be simple. We've learnt from this season's European finals to expect the unexpected!
In big matches like finals, one opening goal can change a lot of things in the match because a team that score an opening goal and a team get a first conceded goal will have to change their initial tactics a lot. Sometimes they fail to switch tactics and it opens more opportunities for their opponent to score more goals.
It's what happened with Leverkusen in the Europa League final match, they tried to equalize the match after a first conceded goal but let Atalanta scored a second and a third goal. Real Madrid had similar experience in their semi finals with Dortmund years ago, when Lewandowski scored four goals in that match.
https://www.uefa.com/uefachampionsleague/match/2009608--dortmund-vs-real-madrid/