Zola has now revealed that Kepa was feigning injury to waste time but that Sarri wanted to bring on Caballero anyway, due to his history at Man City.
"There was nothing really wrong but we then made some considerations," he is quoted as saying by the Daily Mirror.
"We knew we had Willy Caballero on the bench, who knew all of the Manchester City players and so it was an opportunity for us.
"We were going to make the change. It wasn't pre-arranged but we saw the day before he was injured, so we thought it was the injury coming back and we saw an opportunity because Caballero knows the Manchester City players so he can also be a good thing; simple as that.
"It was obviously not an easy situation to deal with. We could not believe it, we were speechless, we kept telling him to come off but he didn't come."
Kepa eventually saved one penalty in the shoot-out but it proved to be in vain as City lifted the trophy.