"I asked what that is."

Translation: 저것이 무엇이냐고 했습니다.

[LiKenun]

저게←저것이 (that)

[rkirsling]

Just 하다 alone works here?

[Staszek456]

Koreans more often than not replace '말하다' with simple '하다', especially when quoting.

[LastSeong]

this is a shortened form that just uses 하다. also it translates closer to "I said what is that?"