A Gareth Bale double gave Wales a 2-1 victory over the Scots in October but that has been their sole victory so far in Group A, while rock-bottom Scotland have not won any of their four games.
The Hampden Park fixture heralds the competitive start of Gordon Strachan's Scotland reign so Southall reckons his counterpart will be feeling the pressure more intently.
"It is a massive game for both countries, probably more so for us," Southall said.
"Strachan will be given another chance if he loses, but I think with ours it (defeat) could nail the coffin for the manager, for us financially and for the fans.
"We are really struggling to get people in the door - I find that hard to understand when you have a player like Gareth Bale - so we really need to win this one.
"Personally, I wouldn't sack him but if we lose this one there will be an awful lot of people queuing up to put a knife in his back.
"I think they should give him until the end of the campaign and have a look then, or give him another year.
"At the end of the day we have a certain number of players to choose from; you need stability and you need people to put things in place and he hasn't had enough time.
"If you are in the job for a year you have players for five days over six games which is 30 days. It is really hard to build a successful business in 30 days or in 50 days so we need to give him a bit of time."