"I am very excited to see it being staged here in Malaysia. Perhaps I can try pulling Shah Rukh from his busy schedule to come and see the show in Kuala Lumpur, " said Vaibhavi, who is here to promote the musical, The Star newspaper said Tuesday.
Highly popular in Malaysia, Khan was made a Datuk, a traditional Malaysian knighthood, earlier this year.
Vaibhavi is one of the most sought after choreographers in Bollywood, working with the likes of Amitabh Bachchan, Hrithik Roshan and Shah Rukh.
The 90-minute musical will feature 48 songs including smash hits from Bollywood movies. The cast of 53 will go through 1, 200 costume changes and wear 2, 500 pieces of Indian jewellery.
The musical showcases the artistry of classical Indian dance moves fused with modern dance genres, funk, disco and hip-hop.
Vaibhavi said despite discouragement from her family that wanted her to stay away from dancing and cinema, she was carrying on the legacy of her grandfather, the late Hiralal, a top choreographer of the 1960s.
She said "Merchants of Bollywood" was close to her heart as 95 percent of the storyline reflected her life story.
"This is not just another project, it is not fictional. This is a part of me, a story that says dreams do come true, " she said.
Kuala Lumpur would be the first Asian stop for the musical that has enthralled audiences in Britain, Spain, Italy and Germany in the last five years.