City last lost at Wembley in 2017 - ironically against Arsenal - but have won the seven games there since including three Carabao Cup wins, two Community Shields and last year's FA Cup semi-final and final.
"(Our record) shows the team likes and enjoys playing finals," said Pep.
"Wembley is an incredible place to play - old and new. And players know the challenge we have to get to another final.
"In England, my first memories of English football are FA Cup finals.
"I remember in Spain we can always see the final, the tradition, everything. It is so nice.
"We are looking forward to it and we are so excited to travel to London and play the game."
Watch Pep's full press conference part one on the video above...