Oscar Trejo scored the decisive goal, a penalty, a minute before half-time to give the side from the Spanish capital a historic win.
They’ll face Valencia, Cadiz, Real Sociedad, Real Betis, Athletic Club or Real Madrid in the next round depending on results.
Rayo are enjoying a fantastic first season back in Primera following their promotion from Segunda last season despite the club being beset by off-pitch tension and difficulties.
They’re currently eighth in La Liga, just five points off Atletico Madrid and a Champions League place with a game in hand.
Mallorca, also newly promoted, are having a tougher time of it. They’re currently in 17th, just two points off the relegation zone and nine away from bottom-placed Levante.
The Balearic outfit will now train their sights on securing survival this season while Rayo will dream of Copa glory.
— Rayo Vallecano (@RayoVallecano) February 2, 2022