City's Bernardo Silva and Mateo Kovacic both misfired in the shootout to put Madrid in the driving seat
Chelsea midfielder N'Golo Kante is the favourite for the players' prize, having already been named the PFA (Professional Footballers' Association) Player of the Year and the FWA (Football Writers Association) Player of the Year.
Arsenal striker Alexis Sanchez has also been included, along with Everton's Romelu Lukaku, who currently leads the league's scoring charts with 24 goals.
Chelsea secured the title on Friday and lead the table by seven points from Tottenham Hotspur going into the final games of the season.
Mauricio Pochettino, whose Spurs team are guaranteed a second-place finish, Burnley's Sean Dyche, Bournemouth's Eddie Howe and West Bromwich Albion's Tony Pulis are the others on the Manager of the Year shortlist.