Table-topping Bristol City are heavy favourites to see off their League One rivals this weekend but Dean Smith's Walsall, who have drawn with MK Dons and Sheffield United in the last week, stunned Preston over two legs to reach the final.
And City boss Cotterill says the tie, which is set to be watched by over 70,000 supporters, will be a tricky one to call.
"We are under no illusions, this is going to be a tough game," he explained
"Whether anyone jumps all over you with a favourites tag or not it will make no difference on the day.
"I think Dean has done a fantastic job there and it will be a proud moment for him to take Walsall to Wembley for the first time
"He has put a really good team together there so it should be a good match
We will approach the game the same as always, we have tried to win every match we have played in this season.
"We can hopefully look forward to a really good occasion."
Cotterill has admitted his delight at a rule change for Sunday's showpiece event
As well as introducing the possibility of extra-time for the first time in this season's competition, the Football League will also allow seven substitutes to be named by both managers at Wembley, rather than the maximum of five in previous rounds.
Having seen off Gillingham in the area final, Cotterill was vocal of his frustration at the rule which would have meant two players from Tuesday night's squad being forced to sit out potentially one of the biggest days in their career.
"That was something I asked about," he explained
"We contacted Walsall and asked if they would have any objections and it was referred then to the Football League and they backed it.
"We are really pleased with that because there would've been a couple of lads on the bus who can't get changed
"You have to have seven substitutes at Wembley don't you? It is fantastic for boys who may not have been involved."
Source : PA
Source: PA