The Spaniards, who drew 0-0 in the first leg against Dortmund, slumped to a 4-2 defeat at Real Sociedad in La Liga on Saturday, with Pellegrini returning to Chile immediately after the game for the funeral.
Malaga said the coach intended to travel to Germany on Tuesday, a day later than his players.
The Spaniards also had to endure a nerve-wracking flight up to the Basque Country on Friday, when their aircraft was caught in a thunderstorm.
Unable to land in San Sebastian and diverted to nearby Bilbao, the plane touched down after being struck three times by lightning and the team had to finish their journey by coach.
"It was generally a weekend to forget and let's hope we can give the coach some joy on Tuesday," captain Weligton said.
Pellegrini rested a host of key players as the Qatar-owned club slipped four points behind the fourth-placed Basque club with eight games left.
Centre back Weligton and midfielder Manuel Iturra both played as they are suspended for Tuesday's game but playmaker Isco, winger Joaquin, midfielder Jeremy Toulalan and forward Javier Saviola, among others, did not feature.
"The defeat is painful but we have no time to dwell on it and we have to focus on Tuesday," forward Roque Santa Cruz said.
The Germans, European champions in 1997 and undefeated in the competition this season, enjoyed a perfect dress rehearsal, easing past Augsburg 4-2 with coach Juergen Klopp fielding a second-string team to rest seven starters.
Klopp, aware that Pellegrini led another team - Villarreal - to the last four in their debut season in 2005/6, will have to wait and see whether central defender Mats Hummels and midfielder Jakub Blaszczykowski will be fit in time.
"Between two not unimportant Champions League games it was important to play to win (against Augsburg). The team passed the character test with flying colours," said Klopp.
Mario Goetze and Robert Lewandowski made second-half appearances and the Poland international added his 21st goal of the season to lead the Bundesliga scorers' list.
Dortmund, who saw Bayern Munich clinch the Bundesliga title on Saturday with six games to spare, have won all their home games in the Champions League this season, beating Real Madrid, Manchester City and Ajax in the group stage.
They are looking for their first semi-final spot in 15 years. As reigning champions in 1998 they were eliminated at that stage by another Spanish team, Real Madrid.
Borussia Dortmund: 1-Roman Weidenfeller; 26-Lukasz Piszczek, 4-Neven Subotic, 15-Mats Hummels, 29-Marcel Schmelzer; 8-Ilkay Guendogan, 6-Sven Bender; 19-Kevin Grosskreutz, 10-Mario Goetze, 11-Marco Reus; 9-Robert Lewandowski
Malaga: 13-Willy Caballero; 2-Jesus Gamez, 4-Diego Lugano, 5-Martin Demichelis, 25-Antunes; 8-Jeremy Toulalan, 6-Ignacio Camacho; 7-Joaquin, 10-Julio Baptista, 22-Isco; 9-Javier Saviola.