Five-time European Tour winner Fitzpatrick had fired seven birdies in his first 16 holes to pile the pressure on Rai but his challenge faltered when he carded his first bogey of the day at the 17th to give his compatriot a two-shot cushion with one hole remaining.
And despite carding a bogey at the last, Rai signed for a closing 69 to finish on 17 under par and open the 2019 Race to Dubai campaign with a stunning wire-to-wire victory in just his 46th European Tour appearance.
Fitzpatrick's sensational 64 saw him finish alone in second on 16 under, with Challenge Tour graduate Victor Perez and Australian Jason Scrivener five shots further back in a tie for third place.
Scot David Drysdale was on his own in fifth after Sunday's 66, while India's Shubhankar Sharma and Spanish pair Sergio Garcia and Rafa Cabrera Bello were another stroke back in a share of sixth.
Three-time Challenge Tour winner Rai began his final round on 16 under par after producing scores of 65, 61 and 68 in his previous three rounds.
And he soon set about improving on that total, tapping in for a birdie at the long third before repeating the trick from six feet at the next to jump to 18 under.
But bogeys at the sixth and eighth stalled Rai's progress and allowed Fitzpatrick to close the gap to two shots courtesy of four birdies in his first ten holes.
Rai rallied, rattling in his 15-foot birdie putt at the 12th before getting another birdie at the long 13th from around three feet to move to 18 under.
Fitzpatrick was hot on his heels, though, picking up shots at the 13th and 14th before draining his 20-foot putt at the 16th to narrow the gap to one.
The first bogey of his final round saw Fitzpatrick lose ground at the 17th and Rai was able to wrap up a one-shot victory after three-putting at the 18th.
After seeing off a world-class field to claim his first win on the European Tour, Rai said: "It's incredible.
"It definitely hasn't sunk in just yet. I'll probably need a few days for that to happen.
"It's incredible to win on any Tour, let alone the European Tour and let alone the Hong Kong Open.
"It's an incredible course, incredible event, very well supported. The crowds have been amazing. I'm just very grateful.
"Matt played incredibly all day. It was tough but again, I really just tried to play the course as much as possible rather than Matt or anyone else who was playing well today.
"I luckily managed to do that for most of the way around. It was tough considering the situation but I'm very pleased."
Fitzpatrick said: "Obviously it was disappointing on the 17th there, such a simple bogey.
"But I gave it a good go. It was always going to be tough to beat him.
"The last two days he's been very solid and not given anything away, which made my life more difficult."
|T6||CABRERA BELLO, Rafa||ESP||18||-9|