Suso holed a 12-foot birdie putt at the third play-off hole to land her maiden major title after the door had been opened by Thompson limping home in 41 as she had to settle for third spot.
“I really didn't feel like I hit any bad golf shots. That's what this golf course can do to you,” said Thompson, who first played in the USGA event at the age of 12, of her sore finish.
Having gone out in 34 to open up her commanding lead, it looked like Thompson, who is now 26, would run away with her first US Women’s Open title.
But she double-bogeyed No. 11 with her first three-putt of the week, dropped another shot at the 14th and had to hack out from the deep left at the 17th, leading to yet another bogey.
“I've never seen a lie that bad,” said Thompson of the latter. “That's what this course can do. Just got the wind wrong on a few shots coming in.”
Heading to the 18th tee with her lead completely evaporated, Thompson put her approach into the front bunker.
After blasting out past the hole, she sent her par attempt long to miss out on the play-off by one heartbreaking stroke.
“It's hard to smile, but, I mean, it was an amazing week,” said Thompson. “I'll take today and I'll learn from it and have a lot more weeks ahead, a lot more years.”
Saso, who lives in Daly City in California, picked up a cheque for $1 million and also accepted immediate LPGA Tour membership for her victory, which saw her become the first major champion from the Philippines.
“I don't know what's happening in the Philippines right now, but I'm just thankful that there's so many people in the Philippines cheering for me,” said Saso.
“I don't know how to thank them. They gave me so much energy. I want to say thank you to everyone.”
Gazing at the trophy, she added: “I was just looking at all the great players in here. “Yeah, I can't believe my name is going to be here.”