The Andalusians are in their second UEFA final in two seasons and could be the first team to win it twice in a row since fellow Spaniards Real Madrid over 20 years ago.
But Duda told The Record in his native Portugal: "I would prefer to win the Spanish league before the UEFA Cup.
"To win the best league in the world is a unique thing for a player."
The winger is pleased with the side's progress this season, particularly given the company they have been keeping domestically, but does not think this gives them the edge in their European clash with compatriots Espanyol.
"Only a select few - including us - are involved in the La Liga title fight," he continued. "But the [UEFA Cup] final nobody is the favourite and this time it's even more difficult.
"Two Spanish clubs in a European final is very impressive. Now Espanyol are in a great moment in their history and I'm sure Sevilla won't get an easy ride in Glasgow."