The Dockers last week labelled the prospect of playing a final at Simonds Stadium rather than in Melbourne 'inconceivable'.
Lyon said on Saturday he would have expected to be playing at a world-class venue in a major city, not at a regional stadium.
The Cats have won 43 of their past 44 matches at their home ground and the city of Geelong hasn't hosted a final since 1897.
But Lyon was focusing on the positives on Sunday, calling the trip to Geelong an exciting opportunity and predicting his side would give the clash a real shake.
"If history was a guide none of us would turn up, it would be Sydney's premiership this year," Lyon told the Seven Network's AFL Game Day.
"It's all about action; the only thing that counts for me is action and we're keen to get into action."
He said the Cats' record was excellent everywhere, not just at home, during their dynasty, which has netted three premierships since 2007.
But he noted the Dockers defied history last year when they were also rated underdogs before they stunned the Cats in an elimination final at the MCG.
It was Fremantle's first finals win outside Perth.
"We understand what we're walking into but we've really grown as a football club," Lyon said.
"It's our first time in the top four for a while and to win a premiership you've got to put yourself up there.
"We're going down to give it a real shake.
"No one really gave us much opportunity last year and we came out and played some very good football, so we know our best is very good."
Lyon predicted 12 players would return for the Dockers, who fielded a virtual B-grade side against St Kilda on Saturday and rested many of their stars.
Luke McPharlin, Aaron Sandilands, Stephen Hill, Michael Walters and Nick Suban, who all missed the game through injury, are among those expected to return.
Lyon admitted to some second thoughts about such a low-key finals build-up while watching fellow top-four clubs Hawthorn and the Sydney Swans slug out a more finals-like match on Friday night.
"When you saw the Hawks-Sydney game, how intense it was and how they went about it, (we wondered) have we done the right thing," he said.
"We think we have but time will tell."
