NSW Premier Chris Minns has demanded answers over how a neo-Nazi protest outside Parliament House was allowed to go ahead.

About 60 National Socialist Network (NSN) members gathered outside the parliament on Saturday, holding a sign saying "abolish the Jewish lobby".

Both the the Premier and NSW Police Commissioner Mal Lanyon have said they were not aware of the rally’s approval.

Mr Minns told reporters on Monday morning he did not know how high the decision went up the police's chain of command.

He said a review would look at the communications between police, the Premier’s department and his office.

“I don't know whether an email, an errant email in the scores of communications referenced either of the rallies in the previous months, we'll have a closer look at that,” Mr Minns said.

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