From Longman Dictionary of Contemporary Englishsay what?say what?informal especially American English used when you did not hear what someone said or when you cannot believe that something is true → say
Examples from the Corpus
say what?• I want to know who says what.• She tried to imagine herself walking along the corridor, knocking on Luke's bedroom door and saying - saying what?• For the first time in his life he was free from corporate restraints, to say what he really thought.• It is always a matter of setting priorities and saying what is real for today.• People close to the negotiations declined to say what Liggett might pay under an expanded agreement.• At each anniversary National Savings will write and say what the guaranteed rate is for the next 12 months.• Male speaker It's a very psychological part - you have to keep saying what the scene is about in your head.• In this kind of situation neither can say what their real feelings are. 