He has asked the Home Office if anything can be done to rescue the planned visit by the group.
Mr Murphy told a radio phone-in: “I have contacted the Home Office to say, what more can be done to get these folk in to Scotland in time to be able to perform as a pipe band, and as a business delegation.”
Around 65 Pakistanis, including a trade delegation and members of a pipe band, have been banned from travelling to Scotland.
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Business talks in Glasgow had to be abandoned after the visitors from the district government in Lahore, which is twinned with the city, had their visa applications rejected.
A pipe band due to perform at the World Pipe Band Championships on Saturday was also refused entry.
Glasgow councillor Hanzala Malik said around 65 people in total had their applications refused, which he said was a “ludicrous” situation as many had visited Glasgow before.
He added: “We’ve advised the authorities of their names, their passport numbers and done everything we could, so for them still to be refused - I am pulling my hair out.”
The UK Border Agency said: “The onus is on visa applicants to supply the necessary evidence in support of their applications.
“Where insufficient evidence is provided visa applications may be refused, though the individual is able to apply again at any time and any new evidence will be considered.”
Mr Murphy told BBC Radio Scotland’s Morning Extra: “These folk have had to fill in the forms - I don’t know if they have made a mistake, or there are rules, because we have got tougher immigration rules.
“They have been before, so have they just made a mistake, are there new members of the band, what’s going on?”
He went on: “We have got to get to the bottom of it, but time is not on our side here.
“So I will continue trying to find out what’s going on and whether they can still get in to Scotland.”