A general talked to a police officer and told him to find an assassin and then the CIA will do the rest (probably kill him).

Then the officer asked: Can I inquire as to what the chain of command is on this, sir?"

General replied: You report to me, no one else.

He added: No, I mean who do you report to, General?

Does it mean something like: May I know whose giving orders here?
Yes, the questioner is trying to find out who the ultimate authority is ordering this. If this is from a U.S. scenario, he is probably trying to find out if this goes all the way to the White House and the president, or if it is some rogue operation that starts somewhere below that. My inference from this little snippet is that the questioner is concerned about the legality of what he is being asked to do, and wants to be assured that the orders originate with the highest authority.
Thanks for your clarifications, Sam!