Belarus have battled into their maiden Fed Cup final but will be without Azarenka because of an ongoing custody battle over her baby son.
It's Stephens's fifth loss on five matches played after winning US Open title, but at least she broke a six set losing streak.
Both players exchanged breaks in the third before Sabalenka held with an ace to go 4-3 up and the momentum shifted back to her. Belarus is playing in the Fed Cup final for the first time.
"I'm full of emotions", Sabalenka said.
"I started flawless both sets with early breaks but it wasn't easy to close out on both occasions as Aliaksandra was very motivated and played really well today".
Stephens hasn't played in the Fed Cup since the 2016 quarterfinals, but she said it's been "no problem at all" slipping back onto the squad.
Vandeweghe, this season's Australian Open and US Open semi-finalist, looked in command from the start on the hard court in the packed Minsk Chizhovka 8,000-seat arena peppering her opponent with shots from the baseline.
She broke again in the first game of the second set, and although Sasnovich levelled things up immediately, Vandeweghe struck back before holding to love to take control.
Vandeweghe has won all five of the Fed Cup rubbers she has contested this year ― four singles and one doubles ― and credits her exposure to team sports at an early age for the success she has enjoyed in the worldwide competition. "For me, Fed Cup is probably one of the more exciting moments I could have in my career".
"I think there's different moments that excite you in tennis", Vandeweghe said. Since then, they have played in three finals - 2003, 2009, 2010 - but lost all of them.
Kathy Rinaldi, in her first season as the USA captain, is trying to become the first since Billie Jean King to lead a winning Fed Cup squad.