Add Lightning Web Component to Lightning Tab

From Winter 20 release you are able to set it as Tab. All you need to do is:

1. Open -meta.xml file from your LWC component
2. Change is exposed to True: <isExposed>true</isExposed>
3. Add <target>lightning__Tab</target>
4. Open Tab from setup and under Lightning Component Tabs press New and select your LWC component.

Your file at the end should look like this:

<?xml version="1.0" encoding="UTF-8"?>
<LightningComponentBundle xmlns="http://soap.sforce.com/2006/04/metadata">
    <apiVersion>47.0</apiVersion>
    <isExposed>true</isExposed>
    <targets>
        <target>lightning__Tab</target>
    </targets>
</LightningComponentBundle>

As stated in comments, My Domain is a prerequisite to Lightning Component Tabs

With Winter 20 release, we can create the Lightning Tab using LWC component. You will just have to add the below tag in the -meta.xml file of LWC component.

<target>lightning__Tab</target>