The NSW premier is concerned by reports One Nation sought funding from pro-gun groups in the US, ahead of the party's pending return to state parliament.
One Nation looks set to win at least one seat in the NSW upper house, which would go to their outspoken state party leader Mark Latham.
It has so far received about six per cent of votes in the Legislative Council, with more than two-thirds counted since Saturday's election.
The party came under fire on Tuesday after an undercover investigation by Al Jazeera revealed One Nation's Queensland party leader Steve Dickson and Senator Pauline Hanson's chief of staff James Ashby met with the lobby groups in the US and asked for $US20 million ($A28m).
The groups included the National Rifle Association of America and Koch Industries - America's second largest privately held company, which has donated hundreds of millions of dollars to conservative political causes.
Gladys Berejiklian, who returned the coalition to power on Saturday, said the revelations were a concern.
"Obviously I can't argue against the will of the people but obviously things like that do concern me," she told reporters on Tuesday.
One Nation has referred the news report to police and intelligence services.
Australian Associated Press