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 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 see 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.
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."
Pellegrini, known as 'The Engineer', has earned himself a reputation for constructing teams who play an attractive possession-based style though has been hindered by a track record in Spain that is devoid of major silverware.
He spent 16 years coaching in Chile, Ecuador and Argentina, before moving to Europe with modest Villarreal in 2004.
He led them to third place in La Liga in his debut season, when they qualified for the Champions League for the first time, and they reached the quarter-finals of the UEFA Cup.
The following season they made it to the last four of the Champions League in their debut campaign before losing 1-0 on aggregate to Arsenal.
Villarreal achieved a second-placed La Liga finish in 2008, and the following year Pellegrini was snapped up by Real.
He guided the nine-times European Cup winners to a then club record 96 points in La Liga in 2010, only to finish second to Pep Guardiola's Barcelona.
Notoriously impatient Real president Florentino Perez sacked him after one trophyless season to bring in Jose Mourinho.
In November 2010, Qatar-owned Malaga moved for him and after some hefty spending on players, the Andalusians qualified for the Champions League for the first time last season.
They fell to eventual finalists Borussia Dortmund in the quarter-finals.
After initial enthusiasm three years ago, the project at Malaga is turning sour with uncertainty about the commitment of Qatari owner Sheikh Abdullah al Thani, which was underlined by the sale of Spain full-back Nacho Monreal to Arsenal in January.
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