The Sunderland manager sends his side to old club Nottingham Forest on Wednesday for their first game on the road to potential silverware.
"The one thing I've been really disappointed with in my time at the club," he told the official Football League website, "is how we've done in the cups."
"So this is somewhere that we're definitely looking to improve."
To that end, the number of changes from Saturday's impressive win at Tottenham may be limited, although Keane has a much stronger squad at his disposal after a number of big-money signings in recent weeks.