City made amends for last year's shock defeat in the FA Cup final by coming from behind to beat Sunderland in the Capital One Cup final a week ago.
Now they are just a game away from returning to the national stadium as they take on Wigan in the last eight of the FA Cup this weekend.
Pellegrini said: "I enjoy winning titles everywhere but to win titles at Wembley made it special.
"All the players know if we win on Sunday we are in a semi-final at Wembley.
"We try to play every competition with no priority and I think it will be very good for the team to reach the semi-final."
Standing in City's way, of course, are the Wigan side that famously beat them at Wembley last May.
Pellegrini was not in charge then - the match proving to be the last of his predecessor Roberto Mancini's reign - but he is well aware of what unfolded.
City were second best to the fired-up Latics all afternoon and eventually succumbed to the underdogs when Ben Watson headed a last-gasp winner.
Asked if he had seen a rerun of that final, Pellegrini said: "Yes, I watched that, but at the beginning of the season.
"I think now it's a different moment. There are different managers, different players for both teams. You can't link one with another.
"It happened 10 months ago and is not a lesson I can learn in this moment.
"We also played against them at the beginning of the Capital One Cup (and won 5-0) but today it is a different team.
"I have watched the last four games of Wigan and they played very well."
Wigan have indeed started to hit form under their new manager, the former City striker Uwe Rosler, and are in contention for promotion back to the Barclays Premier League.
Latics could not avoid relegation in the week that followed their cup triumph and their popular manager Roberto Martinez left for Everton.
Their campaign began sluggishly - including their hammering on their last visit to the Etihad Stadium in September - and that accounted for Martinez's replacement Owen Coyle.
They now go back to Eastlands with confidence restored after five successive wins in all competitions.
The return of Rosler to City adds to the occasion. The German is likely to receive a good reception from supporters who remember his contributions during some lean years in the mid-1990s.
Rosler scored 64 goals in 176 games for City during a period in which they were relegated two divisions.
Pellegrini said: "I know he has an important link with this club but now he is the manager of Wigan and he will want to win.
"Maybe it is not a usual match because of this but I am sure that we are just thinking of winning this match and not all the other things outside."