City beat Stoke 1-0 on Saturday to keep them third in the Premier League, three points off leaders Chelsea F.C. but with a game in hand, and they have a date with Wigan Athletic in the quarter-finals of the FA Cup, the team that beat them in the final of that competition last season.
Having lost to F.C. Barcelona in first leg of their last-16 Champions League tie last week, the French midfielder said he knows from painful experience that victory at Wembley is crucial in maintaining momentum.
Nasri was part of Arsenal's quadruple chasing side in the 2010-11 season, but after a shock loss to Birmingham in the cup final, their season fell apart and they ended up without a trophy.
"I have the experience of losing the Carling Cup with Arsenal F.C.," Nasri told reporters after the Stoke victory, which came courtesy of Yaya Toure's 70th minute strike.
"After that we only won two games in the league, so a win would be really important for us and the confidence.
"I don't have good memories (of Wembley) with clubs. I have lost a final there with Arsenal and with Manchester City, but I won there with the national team against England.
"I hope it is going to be the same kind of game."
City were far from their best against Stoke, but were grateful to grind out the victory after the F.C. Barcelona disappointment.
"It was a boost for the team. After the midweek defeat, we were all down, because of the circumstances but we did the job," Nasri, who has recently returned from an injury layoff, said.
"We were not really fresh and playing against a team who has 10 at the back is always difficult, especially after playing a team like F.C. Barcelona.
"You don't have to rush against these kinds of teams, just because they are bigger than you, they are taller than you. You have to play and that's what we did."
City remained hopeful that leading scorer Sergio Aguero would be fit for the Sunderland match, having missed nearly a month with a hamstring strain.
He was expected to return to full training on Tuesday.
"Aguero can give us all a huge lift, not just for the Capital One Cup final but for the rest of the season because, for me, he is one of the top five players in the world," manager Manuel Pellegrini said.
"He has been unlucky this season. He has had two long injuries but when he's fully fit, he is a player who can make the difference. I'm expected to win trophies here, so I will be very happy to win on Sunday with the style of football we have been playing.