Erm, I'm not a physical chemist and it's been a while since I was taught on MO.
You can refer to http://www.mpcfaculty.net/mark_bishop/molecular_orbital_theory.htm
and examine the part for carbon monoxide. The MO structure is the same for cyanide.
As for "It is heteronuclear diatomic molecule, however, both have Z smaller than 8. Would the sp interaction affect it?", if I interpret your question correctly, sp interaction will not affect the MO.
When speaking about s-p interaction, I am inclined to recall the idea of sp hybridization in organic chemistry. (see http://en.wikipedia.org/wiki/Orbital_hybridisation
) This interaction, in my own thinking, comes about because of the mixing of electron clouds and the strength of the positive nuclei. As we know that s orbitals are spherical and p orbitals are dumbbell, spx hybridized (x=1,2 or 3) is a result of the "mixing" of these s and p orbitals which form sigma bonds. Pi bonds are formed by the left over p orbitals not hybridized.