The sides meet at the Etihad Stadium in the quarter-finals of the competition this weekend, with City having come from two goals down to edge Wigan's Championship rivals Watford in round four.
City, who lost to Wigan in last year's final, found themselves two behind inside half an hour before scoring four goals in the last 31 minutes to win through, and the Chilean believes that it will serve as a reminder not to underestimate teams from lower leagues.
Pellegrini also dismissed suggestions that he had one eye on City's UEFA Champions League last 16 second leg tie with Barcelona on Wednesday.
"Watford was an important lesson but every game is different," manager Pellegrini said.
"We are just thinking about the game against Wigan. When we finish the game on Sunday we will start thinking about Barcelona.
"I know (former City striker) Uwe Rosler has an important link with this club but now he is the manager of Wigan and he will want to win."
Pellegrini has injury doubts over Stevan Jovetic and Matija Nastasic, although he has been buoyed by the return to action of striker Sergio Aguero.
Aguero played just short of an hour in City's League Cup final win on Sunday and Argentina's goalless draw with Romania in midweek.
"Only Jovetic and Nastasic have injury problems" Pellegrini added. "They both should be ready next week.
"It was useful for Aguero to play minutes with his national squad, and he also played in the final. Every match he will improve."
Ben Watson's late strike handed Wigan a shock win over City in the final last May.
