The 30-year-old defender was a first-year apprentice when Latics tamed the Lions in the 1999 Football League Trophy final.
That contest was played at the old Wembley, and they will lock horns at the new stadium this weekend.
Dunne hopes it will be a happy return to the home of English football after 14 years of hurt, with Millwall determined to claim a notable Premier League scalp.
He said: "I was at that game as a young boy against Wigan in 99.
"It was the only time I'd been to the old Wembley.
"So obviously we owe them for that. It's a coincidence we have got them again at Wembley and now it's our turn to get one over on them."
Dunne is also eyeing a final date with capital rivals Chelsea, who face Manchester City in Sunday's second semi-final.
He added: "As a London club I think it would be fantastic to have a Chelsea-Millwall final.
"I don't think the FA would be buzzing about it, but for us it would be great to play Chelsea. They're a huge side with some fantastic players."