Paul Lambert (yes, Villa’s Paul Lambert) was the first Brit to win the CL with a non-Brit club.
He won it with Dortmund (Winning Man of the Match in the final against Juventus, making an assist, and marking Zinedine Zidane out of the game)
Here’s the story, courtesy Guardian. An excerpt:
Lambert would end the season as Dortmund’s man of the match in their Champions League final triumph over Juventus, having shackled a bloke called Zinedine Zidane in midfield and also set up the opening goal of the 3-1 win for Karl-Heinz Riedle. The Glaswegian had been outstanding in both legs of the semi-final victory over Manchester United and he became the first British player to win the European Cup with a non-British club.
Bravo. What a story.
Sporting thoughts and otherwise ... 
Bayern might be scorching favs for the final … but they are gonna look to controlling the game. Having lost to Chelsea last year might not be an advantage because they are gonna be nervous as hell. Dortmund are classic underdogs and have nothing to lose. They are gonna play like the angry Real Madrid and run until they drop. They have a creative chaotic way of playing and are totally unpredictable. The last final between BVB and Bayern ended 5-2 und I sure hope at Wembley we will see both sides create loads of chances. Although Bayern may have enough good players to thrash Dortmund, I actually see Dortmund winning it. I can also see a 0-0 in regular time and then a rediculous end score of 7-4 or something like that.