The Christchurch show was cancelled after Dando missed a flight from Melbourne, with Bluesmoke blaming it on "personal circumstances and flights".
The venue put on a free show headlined by his warm-up act, Matty Smith, instead.
Dando made it to New Zealand for his Auckland show, but was denied entry at Auckland Airport.
In a statement, National Manager Border Senta Jehle confirmed to the Herald that "entry permission for Mr Dando was revoked".
When asked why, Jehle said: "For privacy reasons the details around this decision will not be released."
The Tuning Fork said in a Facebook statement: "We are not sure of all the details at this stage but regretfully have no choice but to cancel the show."
Promoters didn't return a Herald query for comment.
Dando has a history of drug abuse, with themusic.com.au reporting he was arrested more than 20 years ago in Sydney over drug charges.
In a recent interview, he told Fairfax: "Drugs can be fun sometimes."
Reviewers for Dando's Australian tour described his shows as wayward.
A critic for his Perth show said it was like "watching a first rehearsal as they stopped, started and messed about". By the end, it had "devolved into comedy".
And a concert-goer called Dando's Melbourne show on June 1 "a shambles". She said he was "late on stage ... had to be coerced to start the show" and was "barely capable of starting/finishing a song properly".
About Dando's no-show in New Zealand, she wrote: "Count yourself lucky."
Dando's the latest example of artists not being allowed in New Zealand, including rapper Tyler, the Creator, who was denied a visa to perform in 2014 due to "a threat or risk to public order or the public interest".
And Chris Brown pulled his visa application and cancelled an Australian and New Zealand tour in 2015 after an outcry over his 2009 conviction for assaulting then-girlfriend Rihanna.