Letterman told Lilly, who plays Kate Austen on the show, that he thought the best possible resolution to the series' dramatic twists and turns would be for one of the characters to wake up and for the past six seasons to all be a dream.
"You're hoping for the dream-out?" she exclaimed. "You're the least imaginative person in North America."
When asked by Letterman if the show would simply fade to black, as "The Sopranos" did in its final episode, she would only reveal that the finale "holds true to our 'Lost' traditions' and 'represents the show nicely.'"
Lilly teased the "Late Show" host for not watching the series and also offered to let him feel the chain mail loops on the front of her dress - but then tried to wiggle out of his grasp once he did.
The series finale of "Lost" airs on May 23 on ABC.
Watch Lilly and Letterman talk about the show's ending: