Caernarfon have never won the competition before and appear in the final for the first time, facing Cymru Premier side Flint Town United.
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Davies guided Caernarfon to European qualification for the first time two years ago and the prize for Sunday’s winners will be a place in next season’s Europa Conference League.
“Managing the players on the final day of the Cup will be something special and a proud moment for me and my staff,” Davies told BBC Sport Wales.
“It’s an opportunity we want to enjoy and take advantage of, but more than anything we’re going to win and, hopefully, put our name in the Cup.”
Davies added: “Just winning the Cup would be something really special and proud, but then getting the golden ticket to go to Europe is all about that and what it means financially.”
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“We’ve tried it and once you taste something delicious you want a little more.
“As a club we want to compete in Europe year after year, but we are not there yet and we have a difficult game against Flint.”
Caernarfon secured their place in Europe for the first time in 2024 after winning the play-off final.
Davies’ team beat the Crusaders of Northern Ireland in the first qualifying round of the Europa Conference League in 2024, but lost to Legia Warsaw of Poland in the next round.
Newport’s Rodney Parade will host the final for the third consecutive season, with Caernarfon taking on North Wales side Flint, who won the Welsh Cup in 1954.
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The Football Association of Wales confirmed in February that the final would be played in Newport despite all four semi-finalists in this season’s tournament being from North Wales.
“For me as a coach it doesn’t make much difference,” Davies said of playing the final in south Wales.
“We will prepare normally.
“But it probably would have been easier for fans to travel to North Wales.
“But I know the fans will support us in terms of numbers; I think we’ve already sold 1,400 tickets.”