The Italian has already enjoyed success at the national stadium having been part of the Chelsea squad that lifted the FA Cup in 1997 and 2000, as well as scoring the winner for Italy against England in 1997.
Zola led the Hornets to the final after Sunday's dramatic 3-1 win over Leicester City, and he is hoping to be a lucky charm when they come up against Ian Holloway's Palace a week on Monday.
"Wembley has always been good to me and I hope that continues," he said.
"When you talk about Wembley, you are talking about one of the temples of the game.
"I hope I can bring some good luck to my team as well.
"We have done well to reach Wembley, but it's not the end of the story yet."