Justine Damond was killed late on Saturday night after police responded to an emergency call near her home.
Minneapolis Mayor Betsy Hodges said in a press conference on Sunday that she wanted to know why there was no body camera footage of the incident, added the Deutsche-Presse Agentur.
"Any shooting in the city of Minneapolis is awful," Hodges said.
"I share the same questions other people have as to why we don't have any bodycam footage of it and I hope to get answers to that in the days coming," she said, adding that she was deeply disturbed by the incident.
The Australian government confirmed to DPA Monday that it was providing consular assistance to the family of an Australian woman who died in a shooting in Minneapolis.
40 year-old Damond, who was originally from Sydney and had been living in the US for the past three years, was a trained veterinarian and worked in the local community as a meditation teacher, US media reported.
Her stepson Zach Damond, 22, said she called the police after hearing a noise near their house in the south-west suburb of Fulton.
"My mum was shot for reasons I don't know," Damond said in a video posted on Facebook. "I'm so done with all this violence," he added, according to DPA.