We consider the asymptotic expansion of the generalised exponential integral involving the Mittag-Leffler function introduced recently by Mainardi and Masina [Fract. Calc. Appl. Anal. 21 (2018) 1156-1169]. We extend the definition of this function using the two-parameter Mittag-Leffler function. The expansions of the similarly extended sine and cosine integrals are also discussed. Numerical examples are presented to illustrate the accuracy of each type of expansion obtained.