Alvaro Negredo scored a hat-trick as City crushed West Ham 6-0 at the Etihad Stadium in the first leg of their Capital One Cup semi-final.
Edin Dzeko struck twice and Yaya Toure also got on the scoresheet as City piled on the misery for the struggling Hammers in an embarrassingly one-sided contest.
It was merely the latest in a catalogue of stunning home displays and took their goal tally for the season to 92, just one behind their total for the whole of their last campaign.
But Pellegrini said: "I think the team always can improve.
"Maybe today we really played very, very well, that is why I am happy and also because we are balanced we didn't allow West Ham one chance during the game.
"But every game is different and we will see what this team can do in the future."
Even though the formalities of the second leg still need to be played out, City can start looking forward to another trip to Wembley to face arch-rivals Manchester United, or Sunderland.
Pellegrini said: "In football it is never finished but of course this is an important step towards playing the final at Wembley.
"We have to play the second leg in London but I think the result we have here it is not absolutely finished but an important step.
"We have not arrived in the final but we are very near the first final, but it is very important to continue in all the competitions playing the way we did today, and playing the way we did today is more easy if you want to win something."
Negredo's treble took him to 18 for the season since arriving in a £20million move from Sevilla last summer.
His form has offset the loss of top scorer Sergio Aguero through injury.
Pellegrini said: "Playing better than the way he did today is not easy.
"He really played a complete game, not only because he scored three goals but because of his link with the midfielders.
"For me, it's not a surprise because I know the way he played in Spain for a lot of years and I think it's also important for Alvaro and Edin Dzeko to play well together, because maybe in other games they have not played as well as they used to."
It was another chastening day for the Hammers after their 5-0 humbling by Nottingham Forest in the FA Cup last weekend.
The Londoners, 19th in the Premier League, have won just one game since November and pressure continues to build on Allardyce, who was taunted by fans late in the game.
Allardyce said: "It is life isn't it when you are not doing well - you get stick as a manager and I am getting stick at the moment.
"That is the way goes, that is the way this job is you take it on the chin and get on with it.
"You can understand it when they travel all this way, and the team gets beaten heavily, that they are going to give you some criticism.
"But we are not the first team to get beaten here by many, many goals and we won't be the last having seen Manchester City through this season."
West Ham have been ravaged by injuries and Allardyce felt his team were ill-equipped on the night.
He said: "We fought very hard to get to the semi-final, we played some great games and won some fantastic football matches, but unfortunately this semi-final fell at the wrong moment in time and they punished us.
"You can't get near a team when they play like that. People will think they haven't tried.
"They tried but their best wasn't good enough with the quality and talent of the players they have got."
Allardyce received the backing of the club's hierarchy this week but he accepts performances must improve.
He said: "You cannot keep losing football matches, that is for sure, as a manager.
"You cannot think it will be allowed to continue. I don't want it to continue that is for sure.
"We know the reasons why but in the end even those reasons won't save you.
"We have to get those (injured) players back as quick as we can and we have got to not lose confidence in our own ability and get out of this hole we are in at the moment."