This is a quite unfamiliar constructed English sentence to me. I would have written instead "About whom does he say that?" or "He is saying that about whom?" or "Who is the one, he is saying that about?"
As a native speaker of US English, I'd pick "Who is he saying that about" as the MOST frequently used version, at least in the US! Not the most -- and probably the least -- grammatically correct option, but definitely the most used. :-)