Captain McKay's parents, Angela and John McKay, will also make a pilgrimage to place their son's ashes on the mountain in upstate New York where his body was found in freezing conditions in January.

The trip, planned for May, will be the couple's first to the US since they raised the alarm about the missing Afghanistan veteran on January 3.

Speaking publicly for the first time since the death, Mrs McKay said the journey would bring closure to the tragic events around their son making the the unannounced trip to take his own life.

"We hope to put a couple of seats on the hike up Scarface Mountain in memory of Paul and scatter his ashes where he was found," Ms McKay said.

"Then he will have gone full circle.

"We have no idea why Paul chose Scarface Mountain to be his final resting place on earth but we will honour his wishes."

Captain McKay's body was found on a rocky outcrop not far from a mountain trail on January 15.

An autopsy found the 31-year-old died of an irregular heartbeat due to hypothermia, with a coroner ruling the death a suicide.

Ms McKay said the Adelaide-based family was not emotionally ready to travel in January when the mayor of Saranac Lake, the village which led the search, offered to pay for the trip.

"He phoned us as soon as Paul's body had been located," she said.

"He wanted us to fly over to Saranac Lake. He said the community wanted to pay for our airfares.

"At the time everything was too raw. We hope to go there in late May, early June, but we will pay for our own travel."

Mayor Clyde Rabideau took the unusual step last week of declaring April 25 as Anzac Day in Saranac Lake, when he will climb the fateful mountain after a pledge to honour the death of the soldier and others who struggle from post-traumatic stress disorder following active duty.

"Following the passing of Captain McKay, one of his friends asked that I lay a single poppy 'in Paul's honour in [an] appropriate place on Anzac Day'," Mr Rabideau said.

"I have appointed a detail of six persons who will accompany me to Scarface Mountain on the 25th to honour this pledge."

"We often have lost hikers in our mountains … but it struck us that this lost fellow had lost his way. We took him under our wing."

The climbing party will include US military veterans, the Saranac Lake police chief and members of the parks and forest ranger service which led the search in sub-zero conditions.

The Saranac Lake community of about 5400 will also hold a ceremony at its World War I memorial, with Australian veterans in the region welcomed. Visitors would be treated ''with unmatched hospitality and honour", Mr Rabideau said.

"Together, as a larger family, it is my hope and aim that we can help many of our brothers and sisters reintegrate and 'come back home'," the mayor said.

Captain McKay was suffering post-traumatic stress disorder after a 10-month tour of Afghanistan and was on temporary leave from the army when he made his first visit to the US. He had been due to return to his work in Canberra on January 20.

A volunteer with the State Emergency Service during his time in the ACT, Captain McKay's LinkedIn page reportedly said he was a battle captain on shift at Sorkh Bed Forward Operating Base in Oruzgan province in October 2011 when an Afghan soldier opened fire on a group of 10 Australian soldiers, killing three of them and an interpreter.

The seven other troops were seriously injured.

Defence have declined to confirm the captain's service details, citing privacy legislation.

Mrs McKay said the move to mark Anzac Day in a foreign land was an amazing mark of respect.

"It is a wonderful gesture and one our son Paul would be proud of," she said.

Mr Rabideau said there was still 20 centimetres of snow on the ground, but the covering should have cleared by the time of the McKays' visit.

"Usually by the end of May the flowers are blossoming and it's turned green," he said.

"We want to be very sensitive, I'm sure it's going to be an emotional time for them, and everything they want to do, we'll help them."

Captain McKay's former teammates at Eastlake Football Club will wear black armbands this weekend in their first game since his death.

Eastlake district grades president Scott Cameron played with the soldier - known as Cappy around the club - during his two seasons, and said Captain McKay had shared his troubles with a small number of teammates.

"A few of us did know, that the adjustment [after active service] was hard on him … He was always upbeat, he commented it was a battle he was going to win," Mr Cameron said.

"In terms of his football, he was a half-back, midfielder type, exceptionally fit, and the enduring memories of him are that he was very passionate and very vocal."

''He had often commented that in effect he'd found a niche at the club.''