In a three-hour-and-22-minute marathon semifinal on Saturday, Peng was a 6-4, 6-7(6), 6-3 victor over countrywoman Zheng Saisai.
It looked like it would be a routine win for Peng when she went up a set and 5-2. But Zheng rallied and eventually forced a tie-break, in which she fought off two match points as Peng surrendered her first set all week.
Peng shook off that disappointment, though, and broke serve three times in the third set - eventually closing it out on her sixth match point.
The 18-year-old Liu had a much easier time of it, as after getting in an early 3-1 hole against fourth-seeded Luksika Kumkhum, she dropped just two more games the rest of the way for a 6-4, 6-1 triumph.
Peng won her one previous encounter with Liu in straight sets in Shenzhen earlier this year. Both players will be competing in their first WTA 125K Series final.
"I am so young, so am not under much pressure," Liu said. "This will be a good opportunity to learn from an excellent player."
Nanchang is the first of six WTA 125K Series tournaments this season and is one of four in the Asia-Pacific region.