Mallorca sit 19th in the table, 14 places below Malaga and in desperate need of points as they bid to beat the drop.
"We are very saddened by the results of recent matches and we know that we have not done our job and, therefore, the match against Malaga is a final for us," Nsue told the club website.
Successive defeats to Real Valladolid and Espanyol increased the pressure on coach Joaquin Capparos and his players but Nsue believes that makes them more determined to beat Malaga.
"We are all very focused because in the last two games, even though the result has not been with us, I think we competed well and we will give everything against Malaga."
Nsue added: "We will come from the very first minute with great intensity, bring home the three points and show what we can do."
Malaga could give a debut to Uruguay captain Diego Lugano who has signed on loan from Paris St Germain.
The centre back is looking to force his way into Mauricio Pellegrino's team after falling out of favour at the Ligue 1 side.
Lugano told the Malaga website: "I needed to leave Paris, as from a sporting point of view things had become difficult over the last few months.
"I felt I needed new challenges, more minutes on the pitch and to continue to give priority to my national team in the World Cup qualifiers.
"This team has a great level of stability and a huge project under way, which is a big attraction for me, presenting a new challenge with one of the best teams in the world."
Lugano could line up alongside Lucas Piazon who made his debut in the Copa del Rey quarter-final defeat to Barcelona in midweek.
Piazon, who has signed on loan from Chelsea, made his debut in the 4-2 away defeat which confirmed a 6-4 aggregate loss.
After coming on as a second-half substitute, Piazon said: "I'm so happy to be here, and pleased with how we performed despite the result."