Ms Davidson said the family had not been able to see his body, and she was urging the New Zealand Government to intervene.
"They have been blocked at every juncture," she said. "They just feel like no one actually cares that this happened."
The family had been told that there was no CCTV footage of Peihopa's last moments or his movements in the preceding hours.
The Ministry of Foreign Affairs on Tuesday said that the New Zealand High Commission was in touch with Australian authorities.
Peihopa was serving 10 months' jail for dangerous driving charges. He had four children.
He was one of hundreds of New Zealand expats who have been captured by a controversial Australia law change which required the deportation of some convicts or ex-convicts, no matter how long they had lived in the country.
"For a long time now we've heard about mental illness, stress, self-harm from the detainees," Ms Davidson said.
"What will it take before someone shows they care about what is happening to New Zealanders?"
NZH