The 30-year-old grew up a Rangers fan and also played for the club for five years before joining the Jambos.
He insists he will have no issue in trying to get the better of Rangers in this weekend's showpiece match, however.
"It's not strange at all," he said.
"I've been very competitive since I was four years old, since I first started kicking a ball. I think if I played against my gran this weekend, she might get a wee kick.
"It's certainly not going to affect how I'm going to approach the game. The only difference this weekend is if we win I might have a few friends and family members who don't talk to me for a while!
"But I won't be bothered if I've got a Scottish Cup medal in my pocket."
Halliday has lost his two previous Scottish Cup finals after being part of the Rangers team defeated by Hibernian in 2016 and then losing to Celtic while representing Hearts in 2020.
He is hoping for better fortune this time.
"My experiences haven't been great but it's always good to play in these big games," he said.
"I certainly don't hold many fond memories of the Scottish Cup finals I've played in so far.
"I hope this one is different. You can use that as a fuel though. Sometimes the low points drive you on, to help instil a fear of losing which can give you that extra 10 per cent.
"A lot of the boys here experienced a Scottish Cup final defeat last season, so hopefully that can drive us on to a different result this time."
Halliday feels Hearts simply have to trust their own ability and not concern themselves with whether or not Rangers might be fatigued in the wake of their Europa League exertions against Eintracht Frankfurt less than 72 hours before the Hampden showpiece.
"I thought when they went 120 minutes against Braga it might affect them going into their Scottish Cup semi-final three days later, but it was far from the case," said Halliday, recalling when Rangers defeated Celtic after extra-time last month.
"One of the biggest praises you can give Rangers is their athleticism and fitness levels.
"Them playing on Wednesday won't determine how we'll play. We've got to worry about ourselves. I don't think you could pinpoint a single member of this squad that have let the club down."
Halliday is one of several Hearts players who have returned to the fold recently following an injury issue.
He believes the squad is now in great fettle for their biggest game of the season.
"I'm feeling a lot better," he said. "When you've played a lot of games, like a lot of us have, you're going to pick up niggles at this stage of the season.
"We've not got the biggest squad in the league but we've basically got everyone back bar Beni Baningime so I think that's great for us.
"It's a big boost to everyone in the squad that we've got some key players back."