This paper presents a novel three-dimensional nonlinear terminal guidance law with finite-time convergence for intercepting manoeuvring targets. Different from the usual method of decoupling the missile-target relative motion into two-dimensional planes, this law is designed via using the coupled dynamics. The guidance law is derived based on the theory of finite-time input-to-state stability (ISS), which needs no assumption of the linearisation and the estimation of target accelerations. Under this law, the line-of-sight angular rates can be stabilised to a small domain of convergence around zero in finite time. The convergence rate and convergence domain can be adjusted by changing the guidance parameters. First, a sufficient condition on finite-time ISS of the guidance system is given, and is subsequently used to design the guidance law. Finally, simulation results are provided to show that the proposed guidance law possesses fast convergence rate and strong robustness to target manoeuvres.