The Italian inspired the Hammers to a memorable FA Cup victory over Manchester United in 2001 when he beat the offside trap before shooting past Fabian Barthez.
He told The Mirror: "I have to tell you, when I scored that goal to knock out Manchester United, it was a very exciting moment.
"It was like having sex with Madonna. I don't know if this will be the same as a manager. Probably yes.
"It would be fantastic. Let me try it."
Di Canio has built a similarly impressive record in cup ties as a manager with Swindon, recording victories over Premier League sides Wigan Athletic and Stoke City during his time at the County Ground.
Swindon continue their League Cup adventure with a third-round tie against Aston Villa tonight, a match Di Canio believes that they are capable of winning.
"I'm never going to lie to my players. I told them we can win against Villa, we can win against any side," he said.
"But we play Macclesfield in the FA Cup on Saturday and that is more important than Aston Villa."
The Robins have adapted well to life in League One and sit in seventh place after taking 25 points from their first 15 games.