The Mariners, trailing 2-1 after the first leg of their semi-final at the Abbey Stadium, fell further behind when Ryan Bird struck first at Blundell Park.
Town were not in the game for much of the first half but they threw themselves a lifeline when Scott Neilson made it 1-1 on the day four minutes before half-time.
That gave the hosts the momentum and they piled forward after the break in search of the second goal that would have taken the tie to extra time.
But despite almost incessant pressure, Grimsby could not find a way through and the visitors held on to go through 3-2 on aggregate.
Three changes were made to the Town side that lost at Barnet in midweek, with Shaun Pearson returning from suspension, Jamal Fyfield coming in for the injured Aswad Thomas and Ross Hannah being preferred to Oumare Tounkara.
James McKeown started in goal, with Paul Bignot, Pearson, Clayton McDonald and Fyfield forming the defence.
Alex Rodman started on the right of midfield, with Craig Disley and Scott Kerr in the middle and Neilson on the left.
Hannah was joined up front by Lenell John-Lewis, with Sam Hatton, Joe Colbeck, Andy Cook, AndI Thanoj and Tounkara on the bench.
Cambridge welcomed back former Town defender Ian Miller after he missed the first leg through injury, while there was no place for striker Tom Elliott. Bird, who scored both of the Us’ goals at the Abbey Stadium last week, was included though.
Cambridge won the first corner of the game on three minutes and the ball from the flag went through to Tom Champion at the far post but his first-time shot crashed into the side-netting.
The next attack from the visitors led to the opening goal and made Grimsby’s task doubly difficult. The ball was pushed through to striker BIRD and he finished well, smashing it past McKeown and into the net with eight minutes on the clock.
The away side were now on top and they won another corner two minutes later. Ryan Donaldson’s ball went towards the far post but referee Tony Harrington spotted an infringement and blew for a Grimsby free kick.
A foul by John-Lewis gave Cambridge a free kick in a central position on 13 minutes but Liam Hughes’ shot from it hit the Town wall.
Things could have got worse for the Mariners on the quarter-hour when Greg Taylor cut in from the Cambridge left and pulled the ball back towards the penalty spot but Luke Berry’s shot grazed the top of McKeown’s bar on its way out for a goal kick.
The hosts were yet to mount an attack of any significance as the 20-minute mark passed, with visiting keeper Will Norris not called into action so far.
A free kick pumped into the box by Fyfield could have changed that but the ball was half-cleared before a John-Lewis snap-shot rolled out for a goal kick.
The Mariners were beginning to come into the game by the midway point in the half, with Neilson and Rodman looking to get involved from the flanks, but they were still unable to create any real danger.
Grimsby’s first shot on target came on 26 minutes but Rodman’s 20-yard shot was comfortable for Norris, who caught the ball.
After a short spell of Town pressure, Cambridge began to regain their grip on the game by the half-hour.
Pearson lost possession midway inside his own half on 35 minutes and the visitors worked the ball to Hughes but his shot from 18 yards went wide of the target.
Rodman won a throw as the home side searched for a way back into the tie and after the ball was chipped into the box and headed away, Hannah let fly with a wild volley from 30 yards that cleared the Osmond Stand roof.
Town had been unable to put their mark on the game in what had been a disappointing first half so far for the home supporters, although a goal before half-time would put a different complexion on the tie.
And that goal came four minutes before the break, when a free kick taken by McKeown from the halfway line eventually fell for NEILSON and his volley from the left side of the penalty area went across goal and found the bottom corner.
A foul on John-Lewis gave the hosts another free kick soon afterwards, this time 25 yards from goal and just left of centre. Hannah’s shot dropped wide of the near post.
One added minute was played at the end of the half, with Town on the attack as they looked to complete their comeback and level the tie up. A cross from Neilson fell for John-Lewis but after chesting the ball down, he could only volley wide.
Nevertheless, the momentum was now with the Mariners as the teams went into the dressing rooms at the interval.
The half had mostly belonged to the visitors, who extended their aggregate lead and had looked comfortable until five minutes before the break.
Town had not been in the game for most of it but by grabbing the equalising goal on the day, they ensured their overall task with 45 minutes to go was exactly as it had been at kick-off.
No changes were made before the restart and the home side had the first attack of the second half, with Rodman’s header bouncing through to Norris in the Cambridge goal.
At the other end, a free kick from Donaldson was easily taken in the air by McKeown, before an offside decision against Bird ended another attack by the visitors.
A cross from John-Lewis was headed out for a Town corner on 52 minutes but Kerr’s delivery beat everybody and went out for a goal kick at the far post.
The Mariners were applying plenty of pressure on the Cambridge goal in the early stages of the half but they were unable to trouble Norris.
That almost changed on 58 minutes, when a strong run from John-Lewis led to him crossing for strike partner Hannah but he could not find the finish from close range, as Norris stuck out a hand to keep his side ahead on aggregate.
Cambridge were having to weather a Grimsby storm as the home side now looked to have the initiative in their battle to reach the Wembley showpiece.
Berry was booked for a foul on Fyfield after a rare away attack through Bird was broken down.
The Mariners were starting to play some good football and excellent build-up play almost led to a chance on 63 minutes but Rodman’s cross was well taken by Norris.
Josh Gillies replaced Berry for Cambridge as manager Richard Money made the first substitution of the game soon afterwards.
Nathan Arnold then came on for winger Andy Pugh with the Mariners still looking to find a way through and throwing everything at the Cambridge defence.
Away attacks were few and far between, although a corner on 73 minutes had to be dealt with by McKeown, who punched clear.
A corner at the other end was headed away at the near post but Town worked it back in and won another corner on the right, which was headed away by Miller.
The Grimsby pressure continued though and another corner came on 75 minutes, although it was bravely claimed by Norris under a challenge from McDonald at the far post.
Town boss Paul Hurst opted to make changes a minute later, sending Tounkara and Colbeck on for Hannah and Neilson.
The home side were still looking for a way to level the tie up and they were awarded a free kick with nine minutes to go but Kerr’s chip went straight through to Norris.
Cook replaced McDonald as Hurst threw on an extra striker for the last eight minutes in a last roll of the dice to keep the Wembley dream alive.
Rodman hit a low shot from 20 yards which was comfortable for Norris as Town continued to attack, which they had done for the vast majority of the second half.
But time was now ticking down, with less than five minutes to go and Cambridge holding firm.
A burst into the box from Rodman brought a corner and after it was cleared, the visitors were given a brief respite from Grimsby pressure as they had a short spell of possession.
Donaldson had a chance to seal the win for Cambridge as the game moved into three added minutes but he blazed his shot high and wide from inside the penalty area.
Town kept attacking and Rodman fired a shot off-target, before the referee’s whistle ended their Trophy run and sent Cambridge through to the final.
The Mariners are next in action on Tuesday, when they travel to Southport.