Vandersloot hit a 3-pointer to give Chicago (2-1) an 80-76 lead with 38 seconds left and added two free throws 15 seconds later. Emma Meesseman finished with 17 points, seven rebounds and seven steals for the Sky.
Azura Stevens added 14 points. Candace Parker had 11 points.
Reserve Nikolina Milic topped the Lynx (0-4) with 18 points. Sylvia Fowles had 16 points and 11 rebounds, and Moriah Jefferson finished with 16 points and five assists.