Rayo will face Palace in Leipzig next Wednesday after an impressive European campaign under coach Inigo Perez. The Madrid club are aiming to win their first major European trophy and complete a remarkable season.
Speaking ahead of the final, Batalla admitted the squad had achieved something special despite difficult circumstances at the club.
"What we're doing is very difficult to achieve," he said. "Hopefully this can become a turning point for the club on a structural level and improvements can start to happen."
The Argentine goalkeeper also criticised the club's outdated facilities and said progress off the pitch was now needed to match the team's success on it.
"We have a sports city that is obsolete and changing rooms that are from the 70s and 80s. We need to take advantage of this moment to improve everything and hopefully return to European competition again."
Brazilian forward Alemao, one of Rayo's standout performers during the Conference League run, admitted Palace would start the final as favourites. However, he insisted belief inside the dressing room remained strong.
"The favourite is Crystal Palace, but finals are always difficult," he said. "There is a lot of excitement and energy around the team. We want to arrive in the best possible condition."
"Anything can happen in a final. I want to enjoy every moment, give everything for the team and show that we want it more than they do."
Rayo's run to the final has captured attention across Spain, with the club competing far beyond expectations against wealthier European rivals. Victory in Leipzig would mark the greatest achievement in the club's history.
Before travelling to Germany, Rayo still have one final La Liga fixture to complete. They face Deportivo Alaves on Saturday before turning their full attention to the showdown at the Red Bull Arena.