Steve Bruce's side are finally in a position to be able to turn their attention to the pursuit of silverware at the end of a gruelling first season back in the Premier League.
With top flight safety secured, they now have an opportunity to round off the campaign in style.
Davies is convinced they can do just that, with it possible that Arsenal will buckle under the burden of expectation.
He was on the books at Birmingham City when they stunned Arsene Wenger's men in the 2011 League Cup final and sees no reason why Hull cannot repeat those heroics three years on.
Davies told the Daily Mirror: "It will be another massive game and occasion.
"That Birmingham game was strange, as I was a spectator (due to being ineligible). It is a coincidence to come up against Arsenal again and we know the shock Birmingham put on that day. The pressure is all on Arsenal again.
"Our goal at the beginning of the season was to stay in the Premier League. We are quite satisfied with how our season has gone, but going into a cup final against Arsenal we are in it to win it.
"Arsenal fans will see this as a trophy they must win, though. It would be different for them if they were going into a final against Man City or Chelsea.
"They will see it as a must-win against us. It's been that long without a trophy for them it might produce some nerves."
Hull have already lost twice to Arsenal this season in the league, but Davies claims those results will have little bearing on a showpiece occasion at the home of English football.
He added: "A cup final is a bit different.
"We weren't too bad against them recently (a 3-0 defeat at the KC Stadium in April), but Arsenal were clinical. We need to match their work-rate and effort and, hopefully, that will give us a foothold in the game.
"Hopefully, it will go on long enough to cause them a bit of panic like against Birmingham."