The striker enjoyed a record-breaking debut campaign in England to help Pep Guardiola's side win the Premier League for a third season in a row.
Haaland scored 36 goals in 35 games this season, breaking the previous record of 34 in a single Premier League campaign shared by Andy Cole and Alan Shearer that had stood for nearly three decades.
"It would be unreal to make this history," he told the BBC on Friday. "This is why they bought me of course, to get this, we don't have to hide that.
"It would mean everything. I will do everything I possibly can to try to make it happen. It's my biggest dream and hopefully dreams do come true."
He added: "But as well it's not easy -- it's two finals against two good teams that will do everything they can to try to destroy that.
"They will be motivated, they will be ready and we have to play at our best, because if we play at our best we have a really good chance of achieving exactly that."
Meanwhile, United defender Raphael Varane has said his team do not fear Haaland ahead of the final at Wembley.
Haaland scored a hat trick against United in his first Manchester derby as City secured a 6-3 win over their rivals in October.
"Fear? No. Why?" Varane told reporters. "Every game is a challenge and I like to challenge myself, we like to challenge other teams too as a group. The most important is to believe. It doesn't matter if it is a team in good or bad form, the challenge is in front of us and we have to accept it and do our best to win.
"They can score from set plays, from a possession game and from a transition game. As a defender, the connection [Haaland has] especially with [Kevin] De Bruyne -- that kind of pass is complicated to defend, so we try to cut that connection.
"We know we can beat them. We have to be consistent for 90 minutes because we know that everything can change in a few seconds."
Information from Reuters was included in this report.