Last year's finalists played out a 1-1 draw against Al Ahly in their opening game, and then lost to JS Kabylie in their second.
On both occasions, they were guilty of creating, then passing up some choice opportunities in front of goal, and Siasia has been left to rue their lack of a cutting edge.
"The biggest problem we have had is finishing," he told. "We create a lot of chances, and then we fail to take it.
"We have spent time working on it and we hope they can do better in Algeria because we need to win. We have no choice. But if you don’t score goals, you can’t win games."
To get goals, Heartland have added strikers Chibuzor Ozurumba, Emma Nwachi and Ghanaian Isaac Oduro.
Siasia, who is expected to be named Nigeria coach in the coming days, is under no illusions as to what awaits Heartland in Algeria.
"They will be desperate to win because they are playing at home and they have lost their two games.
"But we also need to win to put ourselves back in contention and we expect a very difficult game on Sunday."
Group leaders JSK are home to Al Ahly, but the tie has already been marred by Egypt/Algeria fan violence, with the Egyptian team's bus met by a hail of stones in Algeria.
At least one player is reported to have been injured in the incident.