Palace take on the Madrid-based side at the Leipzig Arena on Wednesday, 27th May (20:00 BST / 21:00 CEST local time) with European silverware on the line, and Alonso believes the occasion represents something truly historic for the Spanish club.
“They don’t have a lot of history in Europe,” Alonso explained. “They used to go between the second division and La Liga a lot – up and down, up and down – but now they’ve become more consistent in La Liga.
“This is only their second experience in Europe. The first came in 2000/01 after receiving UEFA’s Fair Play award – a run affectionately remembered as ‘Euro Rayo’. For them, being in Europe is huge and being in the final… well, it’s history.”
While Rayo may compete in Spain’s top flight, Alonso insists the club’s identity remains deeply tied to its working-class roots in Vallecas, the district in South East Madrid where the club was founded in 1924.
“It’s not a big club like Real Madrid or Atlético Madrid,” he said. “It’s a small club from a neighbourhood, and the neighbourhood is really important for them because the identity comes from Vallecas.
“The supporters feel really close to the club. The players feel that connection too.
“They are honest people, hard workers. Vallecas is working class. The people there are humble and proud of where they come from.
“It reminds me a little bit of Palace and South London. Palace supporters are proud of where they are from, and Rayo supporters feel exactly the same about Vallecas.”