Pirates last lifted the MTN8 back in 2011, when they went on to complete a historic domestic double treble, and have another chance to do so this weekend against Bloemfontein Celtic.
The club have qualified for the final after beating Cape Town City and Kaizer Chiefs without conceding a single goal in three outings in the competition.
While their run of six years without silverware also hangs above their head, Zinnbauer has insisted that the Buccaneers are under no added pressure as this is his first time leading the team in a cup final.
"We do not have pressure, even though it's nine years without the [MTN8] cup. We do not have pressure, this is my first time," defended Zinnbauer to the media.
"But we always have pressure, whether it's a final or the league. As a coach and a team, you want to win games, and it's always the same pressure that you have when you want to win a game.
"We play in a final now and we have to do everything we can to win, it's one game and then it's finished. But we have an opponent, who has the same rules, same motivation and now it's important we find the right players, the right system and you have a good game.
"Then it's not always up to the performances, sometimes maybe it's small things like the referee, or a mistake or a red card, or whatever happens in the game.
"But as the coach, we have to prepare the team and that's important. Pressure is always there and it's our job to work with pressure - the same goes for the players."