Pellegrini was first linked with the Manchester City job long before it became vacant and although speculation has intensified since Mancini's sacking, with Malaga's season not yet over no deal has been confirmed.
But speaking Wednesday night on Spanish TV station Canal Sur, Pellegrini said: "I have a verbal commitment with them and I wait for their move.
"As of yet, I have not signed a contract."
The 59-year-old Chilean has already confirmed he will leave Malaga at the end of the season with the club's grand ambitions of recent years run aground amid financial problems which will seem them banned from European competition next season.
Malaga, sixth in La Liga, finish their campaign away to champions Barcelona on Saturday. Earlier this season, they reached the last-eight of the Champions League before losing to Borussia Dortmund.
Pellegrini was already the favourite to take over at the Etihad Stadium before Mancini's dismissal was confirmed following the FA Cup final loss to Wigan.
Pellegrini added: "It is true that Manchester City has shown much interest in me to be their coach and I have had conversations with them.
"There should be no problem, but until things are signed I cannot say it is done."