The veteran midfielder suffered a thigh injury in the 4-1 win over Tottenham Hotspur earlier this month, and Pellegrini says that the visit of United comes too soon for the 36-year-old.
Speaking on Tuesday, he told reporters: "Nasri is working normally and is in the squad list for tomorrow. Lampard is out, all the other players in the squad are fit.
"I don't think Frank will be fit for the weekend but maybe he can be fit for next week."
Lampard has struck four goals in seven games since joining the Citizens on a six-month loan from New York City FC.