In my P3D environment, multiple airports have the same approach frequency, for example:

LFXA App 131,30 (LYON)
LFLL App 131,30 (LYON)

A I didn't find a hint in the cheatsheet, how do I tell approach the airport where I planned to land ?
By adding an "at airport <icao>" ?

Or (I'm not a real world pilot) as a VFR pilot with a flight plan from LSGK to LFLL,
simply omit the call to approach and call the tower ?

As in the real world, Approach control can serve multiple airports so if you call, you must specify the airport you want.

In P2A, you can contact Tower and request vectors to an approach or a straight-in final, whether VFR or IFR.

Dave