Dr David Donovan said Ian Squire from Shepperton in Surrey was trying to cheer up his fellow captives before a gang member opened fire.
The former Gp from Cambridgeshire told the Daily Telegraph: "We didn't see who did it, but it was obvious that someone in the gang had shot him.
"It was terrifying to see."
Mr Squire, Dr Donovan and his wife Shirley, and Alanna Carson were kidnapped in Nigeria's southern Delta area in the middle of the night on 13th October.
The group were dragged from their beds, taken away on a speedboat and kept in a shack built on stilts above a remote swamp.
Dr Donovan said he and the two other remaining missionaries were left with Mr Squire's body for the rest of the day after he was killed.
He speculated that a member of the gang may have murdered Mr Squire after panicking that sounds from his music may alert people to their presence.
Amazing Grace, which was written by the 18th century slave trader-turned preacher John Newton, was the only song Mr Squire knew by heart.
It had previously been reported that Mr Squire, a 57-year-old optician from Shepperton who ran his own Christian eyesight charity, had passed away after suffering from an asthma attack.
Dr Donovan said he was told that their captors, members of the Egbesu gang, released them after three weeks following a ransom paid by the Nigerian government.
Paying tribute to Mr Squire, Dr Donovan said: "Ian was hungry to know more of God and lived his life with that purpose."