Albion's impressive campaign was slightly tainted by their failure to make a fist of cup runs last season as they exited both the Capital One Cup and FA Cup at the third-round stage.
They face Arsenal in the League Cup on Wednesday hoping to go at least one better than last season and Keen believes there is every reason to approach the competition with enthusiasm thanks to the additions made to the squad this summer.
"A cup run would be fantastic," he said.
"Ask the Swansea supporters or the Wigan supporters...for the supporters of West Brom, any sort of cup run would be fantastic.
"Certainly getting anywhere near the final makes it really exciting."
He added: "The club gave us a couple of gold nuggets on deadline day and we hope we can produce some good football and score the goals which will enable us to win games.
"QPR last season in the FA Cup was really disappointing and we want to have a real crack at it.
"We will have a real go at it and we want to win things for the supporters. They want us to pay in semi-finals and go to Wembley and the players want to be remembered for winning things."
Keen added: "Arsenal are under a bit of pressure because they've not won a major trophy for a while.
"I think it's a good draw for us because the crowd will get behind us. I like the game."
Much is made of Arsenal's eight-year trophy drought but Keen is among those in the Frenchman's corner.
"You can't knock Arsene's achievements," he said. "He has been magnificent and has been working under financial restrictions and they have come through that. With Mesut Ozil joining, they are going to be up there."
Striker Shane Long could return to the fold for the Gunners' visit following a recent knee injury.Republic of Ireland international Long is in contention along with captain Chris Brunt, who missed Saturday's win over Sunderland with a groin injury.