Sociedad have a 1-0 first leg deficit to overturn against Villarreal at Anoeta on Wednesday in the last 16 of a competition they have not won since 1987.
Moyes has not claimed any major silverware in his 16 years in management and the Scot is eager to change that, though preserving Sociedad's La Liga status is his primary focus as the side sit just three points above the drop zone.
"If possible I'd love to get to a final for the supporters and if we get to the cup final it will be fantastic," the coach said.
"I think we should be realistic but our hopes, our dreams are that we can get to the final.
"When I took the job there was a risk of relegation and there's still a risk of relegation."
Sociedad sit 12th in a congested bottom half of the table and have back-to-back home league matches after the visit of Villarreal, with Rayo Vallecano and Eibar up next.
