Mahrez had hit the winner in Paris and added both goals at the Etihad Stadium, where the pitch was covered in hail after a pre-match shower.
His first came after a long pass from Ederson – "It's something we work at all the time," Mahrez said – before Phil Foden led a stunning break for the second.
City was sloppy in possession in the opening stages but defended doggedly and soon found space in attack as PSG pressed forward.
"I don't think it was the game plan, but obviously they had to come at us," Mahrez said. "Sometimes, we were a bit deeper, they lose the ball and we are good at the counter as well. That's how the two goals were. We are happy."
As well as his two goals, Mahrez weighed in with a tackle, two clearances and a block. All 10 outfield starters contributed at least one clearance for City.
"When you play the semi-final of the Champions League, you have to be solid, everybody has to defend, everyone has to contribute defensively," Mahrez said.
"That's what we did. We were very solid today, didn't concede much, and that is why we're in the final."
PSG ended with 10 men after Angel Di Maria was dismissed for stamping on Fernandinho, one of many late incidents as the visitor lostits discipline.
The Ligue 1 giant only conceded 12 fouls but earned five cards and might have got off lightly.
Reflecting on the match, Mahrez said: "It was a very good game. We didn't start good again. I don't think we had a very good first half, but we scored the goal and it was more comfortable after the goal.
"Second half I think we played very good; we had a lot of chances, we could score more.
"Then they lost their nerves and started kicking us. It was good. They had a red card and after it was more comfortable for us."