If the record books have anything to do with it, Real Madrid have nothing to fear this Wednesday at the Mestalla. Madrid have never let their opponents turn around a two goal deficit, be the score 2-0 or any other, in a Copa match. The last time that they went down 2-0 and went out was in 1987, but that was after beating Atlético Madrid at the Bernabéu (3-2). On no occasion have they been eliminated after letting a two goal advantage slip.
Valencia, meanwhile haven't mounted a successful Copa del Rey comeback at the Mestalla since 1995. They got to the final turning around a 2-1 scoreline which was in Salamanca's favour (the result in Valencia was 3-0) and a 1-0 against Mallorca (they won 4-0 at the Mestalla).
In Europe, Madrid have been knocked out with an initial 2-0 advantage. The European Cup of 1974/75 saw Red Star Belgrade come back against them at their Marakana stadium after going down 2-0 at the Bernabéu, to later go through on penalties.
Also, in the 1979/80 European Cup they beat Hamburg 2-0 in Chamartín before falling spectacularly in Germany 5-1 against a team who were then very powerful.
With a two goal lead but the scoreline not 2-0, Madrid have also gone down in Europe on a number of occasions. In the 1978/79 season, Grashoppers thrashed them 5-0 in a second leg after a 3-1 win for the Spaniards in the first. That was in the European Cup.
In the 1992/93 season, PSG knocked them out of the UEFA Cup after putting four past them at the Parc des Princes. In the first leg, Madrid had won 3-1.
In the UEFA Cup of 1981/82, Madrid beat Kaiserslautern 3-1 but went on to lose 5-0 away. Finally, they were also eliminated after enjoying a two goal cushion in the Champions League 2003/04. They beat Monaco at the Bernabéu 4-2 before losing in the principality 3-1.