The Seville outfit were promoted back to La Liga in 2010-11 and secured a place in the continent's competition last term, finishing seventh in the top flight.
“I have already said that it is a dream to be here. Three years ago this seemed like science fiction and now it is a reality," Mel told reporters.
“We have not been fortunate in that we will come up against a team as historic as Lyon, accustomed to the Champions League.
“But we hope to do well to move into the next round. I think that we are good and that we are thinking only about winning.
“Our goal is to win tomorrow, in Croatia, and on from that. We want to demonstrate that we deserve to be among the best. We want to have a magnificent season in the league and also in the Europa League.
“In the league, we should already have more points than we do because we have had three big games. This is a team that will go on to the field tomorrow to prove that they want to reach the highest level.
“Clearly, our ambition is to play every year in this competition.”
Lyon were knocked out by Real Sociedad in the Champions League qualifying stages and Mel believes they will be a threat to his side, despite the disappointment of failing to reach the top competition.
"They can look at Real with envy because they are in the Champions League. Lyon have dropped from that competition, but they are group favourites now.
“If they were in the Champions League play-off then it was because they had done very well in their League."