With the rapid development of converters in a variety of industrial fields, the fault diagnosis of power switching devices has become an important factor in ensuring the safe and reliable operation of related systems. In recent years, machine learning has performed well in many fault diagnosis tasks. The success of these advanced methods depends on sufficient marked samples for each fault type. However, in most industrial applications, it is expensive and difficult to collect fault samples, and the fault diagnosis model trained under the limited samples cannot meet the requirements of fault diagnosis accuracy. In order to solve this problem, this study proposes a few-shot learning method based on fault sample generation to realize the open-circuit fault diagnosis of IGBT in a three-phase PWM converter. This method is the deformation of the auto-encoder called the disturbance auto-encoder generation model. By designing the model structure and training algorithm constraints, the encoder learns the nonlinear transferable disturbance from the normal operating sample pairs. Then, the disturbance is applied to the decoder to synthesize new fault samples to realize the training of the fault diagnosis model with limited samples. The biggest advantage of this method is that it can achieve 95.90% fault diagnosis accuracy by only collecting the samples in the normal operating conditions of the target system. Finally, the feasibility and advantages of the proposed method are verified by comparative experiments.