Cain, 20, has become a regular fixture in Dean Smith’s midfield side since joining the Saddlers in October and made his 19th appearance for the League 1 club in Tuesday’s Northern Area Final second leg against Preston North End.
Leading 2-0 from the first game at Deepdale, Cain and co. wrapped up their place in the final courtesy of a 0-0 draw at the Banks’ Stadium, booking Walsall’s first appearance at Wembley in their 127-year history.
Cain has been an impressively creative influence for the Saddlers this season and scored in each of his previous two games prior to Tuesday’s visit of Preston, for whom another Foxes loanee, Paul Gallagher, was in the starting XI.
But with a lead established from the first leg, consolidation was the order of the night for Smith’s men, who sent a sold-out Banks’ Stadium into ecstasy with the shutout they needed to book a Wembley berth.
Cain, who extended his loan with Walsall until the end of the season last week, will now hope to be included when the Saddlers meet either Bristol City or Gillingham in the final on 22 March.
Bristol City, who lead the Southern Area Final 4-2 heading into the second leg, host the Gills at Ashton Gate on Thursday night.
Meanwhile, another Foxes loanee was on target on Tuesday night, as Tom Hopper hit the second goal of his loan spell with League 1 Scunthorpe United.
Making his third appearance for the Iron, Hopper struck in the early stages of the second half against MK Dons at Glanford Park, before Kyle McFadzean secured a point for the promotion-chasing Dons.