The 23-year-old South Korean, who began the day two shots behind joint overnight leaders Celine Boutier and Yu Liu, carded a final-day 70 to win by one.
Lee finished bogey-par-bogey but Boutier, of France, was unable to get the birdie on the last she needed to take proceedings to a play-off.
Boutier’s approach found the bunker on the right of the green, leaving her needing to chip in to tie. She was left to regret a missed birdie putt on 16, and a six at 18 cruelly left her three shots adrift.
It meant Lee, known as ‘Lee6’ as she is the sixth player with the same name on the Korean circuit, clinched her first win on the LPGA Tour.
Lee told Fox Sports: “I felt pretty nervous on 16, 17 and 18 but I tried the best I can.
“Throughout the year playing golf I couldn’t imagine coming this far, winning a major championship, and I feel proud of myself.”
Americans Angel Yin and Lexi Thompson were tied for second on four under alongside South Korean Ryu So-yeon.