The twin-field quantum key distribution (TF-QKD) protocol is designed to beat the rate-distance limit of quantum key distributions without employing quantum repeaters; meanwhile, it can offer the measurement-device-independent secure level. In this Letter, we propose to improve the performance of TF-QKD protocols by employing modified coherent states. Based on the Wang etal. sending-or-not scheme [Phys. Rev. A98, 062323 (2018)PLRAAN1050-294710.1103/PhysRevA.98.062323], we study the key rate with the modified coherent states in finite data size and do comparisons with the one using weak coherent states. Through numerical simulations, we demonstrate that modified coherent states can substantially increase the performance of QKD more than the latter.