Sloane Stephens was two points from defeat against sentimental favourite Venus Williams in one US Open semi-final before pulling out the victory.

Madison Keys faced no such test, overwhelming CoCo Vandeweghe in the other half of the draw to set up the first all-American women’s final at Flushing Meadows in New York since 2002.

Stephens, who returned to the women’s competition after an 11-month injury layoff, and compatriot Keys, will meet in the first Grand Slam title match for each on Sunday morning (AEST).

Stephens summoned some of her best strokes when she needed them the most to take the last three games of a back-and-forth thriller, to edge seven-time major champion Williams 6-1 0-6 7-5 on Thursday night.

“It required a lot of fight, a lot of grit,” Stephens, who is ranked 83rd after having surgery on her left foot in January and is the fourth unseeded finalist at the tournament in the Open era, said.

“I don’t give up.

“Like, I’m not just going to give it to someone. I’m not just going to let them take it from me,” Stephens said.

Keys dominates Vandeweghe

The 15th-seeded Keys dominated No.20 seed CoCo Vandeweghe 6-1 6-2.

“I think I played pretty well tonight,” Keys said in what amounts to quite an understatement.

The 22-year-old had 25 winners to only nine unforced errors, never faced a break point and needed just 66 minutes to win.

The match time would have been even shorter, except Keys left the court to have her upper right leg taped at 4-1 in the second set.

“Madison played an unbelievable match,” Vandeweghe, who wiped away tears during her news conference, said.

“I didn’t really have much to do with anything out there.”

Venus farewelled as she leaves court

At 37, Williams was attempting to become the oldest woman to win a Grand Slam title in the Open era.

She was trying to reach her third major final of this season, something she last did 15 years ago.

Williams’ first title match in New York came in her US Open debut in 1997. Stephens was four at the time.

“I’m honestly just honoured to be able to play at the same time as her, one of the greatest ever to play our game,” Stephens, who joined spectators in clapping for Williams when she walked off the court, said.

After a rough start, Williams fought back brilliantly and was close to beating Stephens.

“Those are moments where you have to dig deep and figure out how to get the ball on the court and have a big game,” Williams said.

Stephens regained the initiative with a string of incredible winners and served out the biggest win of her career and of her impressive injury comeback.

“There was nothing I could do about those shots,” Williams said.

Stephens, who has a career-high ranking of 11 in 2013, dropped to 957 just two months ago but since then she has won 14 of 16 matches.

“I have no words to describe what I’m feeling, what it took to get here, just the journey I’ve been on, I have no words,” she said.

“I don’t know how I got here, just hard work, that’s it.”