The sons of murdered journalist Jamal Khashoggi on Sunday issued an emotional appeal for the return of their father's body.

Speaking to CNN in their first interview since their father was killed in the Saudi consulate in Istanbul a month ago, Salah and Abdullah Khashoggi said they have endured weeks of anguish and uncertainty following his disappearance and death.

"I really hope that whatever happened wasn't painful for him, or it was quick. Or he had a peaceful death," they said.

Khashoggi was last seen on October 2 entering the Saudi consulate in Istanbul. The Turkish government has accused Saudi Arabia of murdering the dissident journalist and chopping his body into pieces.

Saudi Arabia admitted for the first time several weeks ago that Khashoggi was killed after entering the consulate in Istanbul, after previously denying Turkish claims that he was murdered.

Last week, Turkish authorities provided new details about Khashoggi’s murder, saying he was strangled as soon as he entered the Saudi consulate in Istanbul and his body was dismembered and destroyed as part of a premeditated plan.

Authorities in Turkey are still searching for the journalist's remains. A source close to the Saudi Royal Palace has denied any knowledge of the body's whereabouts.

Without their father's body, the brothers told CNN their family is unable to grieve or find closure.

"All what we want right now is to bury him in Al-Baqi (cemetery) in Medina (Saudi Arabia) with the rest of his family," Salah said.

"I talked about that with the Saudi authorities and I just hope that it happens soon."

The case also sorely strained relations between Saudi Arabia and the West. US President Donald Trump derided the killing as "one of the worst cover-ups" in history.

The United States later revoked the visas of 21 Saudi nationals implicated in the crime.

Last week, US Secretary of State Mike Pompeo said it would take a "handful more weeks" before the United States has enough evidence to impose sanctions in response to the killing of Khashoggi. He stressed that Trump had made it clear Washington would respond to the killing.