Mr Roy told the ABC that he had been visiting a friend who worked in the Sinjar region, west of Mosul, when IS began their attack.
Mr Turnbull said he was not informed of the trip, which he described as "wrong and dangerous".
He would not speculate on any potential investigations and instead told radio station 3AW the Department of Foreign Affairs and Trade (DFAT) would be "taking an interest in his travels"
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