The bodies of Jesse Baird, 26, and Luke Davies, 29, were found inside surfboard bags at a rural property in Bungonia, near Goulburn about 200km southwest of the city, on Tuesday.
Police officer Beau Lamarre-Condon is in custody charged with murdering the pair at Mr Baird's home at Paddington in inner-city Sydney on February 19.
Investigators allege the 28-year-old used a police-issued firearm to kill the couple.Â
It's alleged the attack was premeditated after a months-long campaign of "predatory behaviour" towards Mr Baird, who he briefly dated.
Mr Davies was allegedly murdered because he happened to be in the Paddington property at the time of his partner's killing.
Chris Minns says he's open to all advice from the review into NSW Police. (Bianca De Marchi/AAP PHOTOS)
Premier Chris Minns said Victoria Police Commissioner Shane Patton would conduct an independent inquiry into NSW Police policies and procedures.
All findings would be made public to ensure the community was kept informed of proposed changes, he said.
"Something's gone badly wrong (and) we know change needs to be made," he told Nine's Today Show on Monday.
"I feel so desperately sorry for the family and friends of Luke and Jesse."
Asked if he would back calls for police-issued weapons to be installed with GPS trackers, Mr Minns said he would consider all recommendations from the review.
"I have to examine how ubiquitous those GPS trackers are on police equipment, whether they're available in every police car or on every police officer," he told Seven's Sunrise.
"We will look at (the recommendations) really closely."
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