Conceicao led the Rossoneri to a thrilling victory over Juventus in the semifinals after being appointed to replace Paulo Fonseca, who was sacked last Monday.
This time, Inter took the lead thanks to goals from Mehdi Taremi and Lautaro Martinez just before halftime.
After a play that started with Leao, Pulisic completed a counterattack by firing through Augusto’s knees.
Leao gave Pulisic a through pass, who then passed it to Abraham, who tapped into an empty net in stoppage time to score the third goal.
It was the second year of an extended four-team format and the fifth time the competition has been held in Saudi Arabia in the previous seven years.
Inter’s lone serious chance of the half came from a throw-in when Taremi delivered the ball inside the area to Lautaro, who cut back before shooting through Hernandez’s legs.
Shortly after the interval, Taremi, who was replacing the injured Marcus Thuram, completed a counterattack.
On Saturday, Milan takes on Cagliari in its first Serie A game under Conceicao. Despite being in ninth place, the Rossoneri will be lot more confident when they play in the league again.