The Chile international accepted a 16-month suspended jail sentence in Spain earlier this year for tax fraud, which has led to the US government denying him a visa.
Nobody found guilty of fraud can be granted a visa to enter the United States, although a waiver scheme does exist, which it is what United are reportedly trying to use to allow Sanchez to travel at some point.
"I don't know about Sanchez. He's very sad, it's not good for him or me, not good for anyone," Mourinho said at his news conference ahead of their friendly against Club America.
"There is no-one to blame - the club is making an effort. I have to respect the US authorities in their process of selection of visas. I hope he will come to join us.
"It's important to work with [Juan] Mata, [Anthony] Martial and Alexis as they will be the players we think that will start our season in attack."
United are scheduled to play five games in the United States, starting with the fixture against Mexico's Club America during the early hours of Friday morning.