Seventeen of Go-Lorrie's employees donated $500 a piece to the mayor's campaign. The employees were then reimbursed by the company.
The California Fair Political Practices Commission is already probing the donation as a possible laundered campaign contribution.
Lee says his campaign will cooperate with the investigation.
City Attorney Dennis Herrera, one of Lee challenger's in the city's mayoral race, has also asked "state and federal" prosecutors to look into the matter.