The 'Red Devils' took the train to London on Wednesday ahead of the Wembley showdown, with Lukaku joining his team-mates in making the journey.
The Belgian's involvement in the game is less than certain, with even United boss Jose Mourinho admitting that he does not know if the striker will be fit to feature.
Lukaku sustained the problem in last month's victory over Arsenal, with United now sweating over the fitness of their leading scorer for the final.
Fellow forward Anthony Martial is also a doubt with a knee problem picked up in training.
"I'm waiting for the doctor but when it's impossible to play today, I have my doubts (for the Cup final)," Mourinho explained on Monday. "Let's wait and see, also for Romelu. I know he will be back on Tuesday."