The Abu Dhabi-owned club had been expected to play a friendly against Al Ain FC on January 14 and combine the trip with a week's warm-weather training.
The fixture had been publicised in the United Arab Emirates but City had not confirmed the plans - and there is now no gap in schedule for it to take place.
City will instead host Rovers in a third-round replay that week after they were left hanging on for a 1-1 draw with 10 men at Ewood Park.
Alvaro Negredo had put them on course for a place in the fourth round but Scott Dann responded after a Costel Pantilimon mistake and City had Dedryck Boyata sent off late on.
City are still involved in four competitions this season but Pellegrini said he did not know if his team would be better suited playing a replay or training in the UAE.
He said: "You never know what is better.
"We were going to be travelling to Abu Dhabi and having a friendly match there, now we are going to play against Blackburn Rovers at home.
"What is better? It is impossible to know.
"It (the replay) is not an extra problem. We have to play another match and have the squad to do it but we will continue making the rotation, that is better for the squad."