if you want to say it correct in hungarian : Ki van a telefonnál? or just say: "kivel beszélek?"
If you ask this question to a third person (who is not on the phone) then the hungarian sentence is correct. But rather we use it like "ki az?"
I also think that the original sentence is in no way correct (to me it means that we would like to know who is standing on the phone). Maybe different regions, different phrases.
The question 'Ki van a telefonnál?' suits both the situation when you're on the phone and when someone near to you is on the phone but it seems a bit old-fashioned to me.
But the easiest way is to ask "kivel beszélek?"-"who am I talking with?" when you are on the phone and "kivel beszélsz?"-who are you talking with?" when you are not.
I think it is rather weird if we look at the English sentence. When somebody is 'on the phone' it means 'somebody is having a conversation with another person on the telephone'.
However, the Hungarian sentence "Ki van a telefonon?" has a totally different meaning and we never ever ask a question like that, cause it literally means 'who is standing on the phone?'
Or if that person 'on the phone' is a kind of a sticker from a cartoon for example which is glued onto the phone you can ask a child like 'tell me boy... who is (that) on the phone' = 'ki van (rajta) a telefonon?'
These minor differences can make Hungarian really hard to speak fluent, I have to admit.