The Teessiders' complaints that a member of the Southampton staff had breached EFL rules by observing training before the first leg of the Championship play-off semi-final between the clubs led to the Saints being excluded from the final this week.
Instead, it's Boro who are now preparing for a game against Hull which could yield a Stg 200million ($A377 million) reward.
However, as Hellberg prepared for a first ever trip to Wembley, he revealed the episode has taken its toll on him.
Asked about his dreams of victory, he said: "I don't sleep! I haven't slept for one-and-a-half weeks, so there are no dreams.
"Hopefully, I get a good night's sleep today, and then I will tell you about the dreams tomorrow."
Hellberg briefly took time out after the semi-final exit to travel back to his native Sweden with his son to let off steam.
"I took my son to Sweden to see a Hammarby game. It was a 4-1 win so it was very nice for me – watching a game, drinking beer, shouting at the referee from the stands," he said.
"It gives you a bit of perspective on things and gave me some time with my son. I could think about something different."
Asked if he had any sympathy for Southampton, Hellberg said: "It's weird. Southampton is a big organisation with so many things involved in that.
"Of course, I feel a lot of sympathy for supporters paying for tickets, having booked, thinking they're going to go to Wembley. For some players that were not involved and tried – there's a lot of sympathy for different things.
"There's a lot of sympathy for our fans, for Hull supporters in terms of not knowing when to play the game.
"It's been weird for a lot of different teams and supporters, ups and downs that are not fair to them, but it also comes from the decision they have made."
One potential problem for Hellberg is that his players have had minimal training since the second leg of the Southampton tie and have been dealing with the psychological impact of that defeat.
"It's very difficult to know where the players are mentally to be fair," he said. "After the Southampton game away all the things that come with that, it was very tough. Then it's been back and forth. We tried to keep them here, but it's been impossible to train."
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