Ellis, 31, is still a couple of weeks away from returning to full fitness and making his debut for the Airlie Birds, and he wants to taste success at Wembley.
He said: “I grew up watching the Challenge Cup, and it’s exciting to be back here and play in the cup again.
“I think you would be silly not to want to win it. A major trophy is available, and the Challenge Cup still has a lot of magic surrounding it.
“It’s one I’ve not won myself, so it would be nice to be there or there abouts come the end of the year.”
Hull’s best run in the competition since they won it in 2005, was when they lost 28-16 to St Helens in the 2008 final at Wembley.
Their 25-24 triumph over Leeds in 2005 was played at the Millennium Stadium in Cardiff, when Wembley was being re-built.
The Airlie Birds, who have three Challenge Cup titles and 11 other final appearances to their name, have never won the final at Wembley.
They drew with Widnes 14-14 in the 1982 final, which was then decided by a replay at Elland Road.