Pellegrini’s side showed no mercy as two goals from Alvaro Negredo and a Sergio Aguero strike crushed West Ham 3-0 in the League Cup semi-final second leg at Upton Park on Tuesday.
The ruthless display in east London sealed a 9-0 aggregate triumph that was the largest semi-final margin of victory in the history of the competition.
City can now look forward to a Wembley showdown against Manchester United or Sunderland on March 2, which gives Pellegrini a chance to secure the first trophy since he arrived as Roberto Mancini’s replacement in the close-season.
The League Cup remains very much fourth priority on Pellegrini’s to-do list however, and the Chilean believes success in the Premier League, Champions League and FA Cup is also still a distinct possibility if City can maintain their current free-scoring form.
“I’m very proud of the team. We arrived in the final winning the five games with 19 goals scored, with just one goal conceded,” Pellegrini said.
“Always a final at Wembley is a very important final and I’m very proud of the team that we are still in four competitions.
“Now we’ve finished with the League Cup until March. It’s very important to continue in the FA Cup, so we must win against Watford.
“We’ll continue with the same winning and ambitious mentality.
“We are thinking about winning every match.”
City are now unbeaten in their last 18 matches in all competitions, and with their forward line functioning as well as any in Europe, a clean sweep of the four trophies can’t be ruled out.
Aguero is already back in top form after recovering from a calf injury suffered in December, while Negredo, Navas and even teenage winger Marcos Lopes, who impressed on a rare start against West Ham, add guile and grace to the City attack.
Pellegrini won’t let his players get too carried away just yet though and he added: “We have a lot of work to do. In the FA Cup we are just in the fourth round.
“In the Champions League we have a tough game against Barcelona.
“The Premier League’s very close and it will still be close till the end between four or five teams.
“At the moment we are happy the way we are doing things. We must continue in the future the same way.”
Pellegrini, who has never been to Wembley as a manager, is unconcerned who his side face in the final and he said: “Wembley’s special for everyone.
“Both teams would be difficult. Maybe everybody thinks Manchester United would be our rival in the final, but Sunderland has options.”
Meanwhile, West Ham manager Sam Allardyce was left to lament further injuries as midfielders Joe Cole and Mohamed Diame went off with groin and knee problems respectively.
The Hammers’ focus now turns to their fight for Premier League survival, something Allardyce believes hinges on the fitness of his players and new signings.
Ricardo Vaz Te, Guy Demel, Joey O’Brien, George McCartney and Winston Reid are all nearing returns.
“If you give me all them fit from as quickly as possible until the end of the season, I think we’ll come out of this,” Allardyce said.
“Forty points is the safe zone over more than 10 years now. It’s got to be 22 points minimum for me in the last 16 (games).”
Allardyce has been trying to strengthen his squad in the transfer market and was frustrated at missing out on striker Lacina Traore, who now appears set to join Everton on loan from Monaco.
Asked if he is likely to make any signings before next week’s match at Chelsea, Allardyce said: “I wouldn’t have a clue at the minute. Every time I get a new signing somebody else takes him.”