Only once before has a team from Turkey won a major European competition, Fenerbahce's bitter rivals Galatasaray tasting UEFA Cup success in 2000 following a penalty shootout win over Arsenal.
Benfica stand between Fener and a place in the final in Amsterdam, with the Istanbul side going into Thursday's second-leg clash in Lisbon with a 1-0 advantage.
And progression would complete an impressive season for Turkish clubs in Europe after Gala reached the Champions League quarter-finals.
"It's something massive for the club to be in the Europe League semi-final," Sow, who has excelled in Turkey since his move from Lille in January last year, told uefa.com.
"Right now we are achieving something huge. We're in the semi-finals, we're about to face Benfica and for the club, for the fans, for Turkey, it's something exceptional.
"We will do everything to reach the final and why not win the trophy?"
Fener, who upset the odds to defeat Lazio in the quarter-finals, would dearly love to follow in the footsteps of city rivals Gala by gaining European success.
"It would mean a lot (to win)," Sow, 27, added. "A Turkish club has already won the Europa League so why not Fenerbahce this time?
"I am dreaming a lot, but first of all we have Benfica and we will take it step by step. But it's true that I think about it a bit."
Fener won 2-1 at home to Kayserispor in the Super Lig at the weekend to keep the domestic title race just about alive, although Gala are all but home and dry, holding a seven-point lead with three games remaining.
Senegal international Sow's form has been key to their efforts, with 15 goals in 28 league appearances, and he revealed he is loving life in Turkey.
"People really love football (in Istanbul), they live for football," he added.
"You can see it in everyday life. When I go for a walk or for dinner, I see that people love football and support us. They are true football fans, you can feel it and it's a great thing."