“それは” (sore wa): This translates to “that is” or simply “that”. The “wa” particle marks “that” as the topic of the sentence.
“何の事を” (nani no koto o): “nani” means “what”, “no” is a possessive particle, and “koto” refers to a matter or a thing. “O” is an object marker. So this part translates to “what matter” or “what thing”.
“言っている” (itte iru): This is the present progressive form of the verb “iu” which means “to say”. The present progressive form is used to describe an ongoing action, so “itte iru” means “saying” or “talking”.
“のですか。” (nodesuka): This is a sentence ending phrase that is often used in Japanese to express explanatory tone, or to ask for an explanation. The “ka” at the end makes the sentence a question.
So, putting it all together, “それは何の事を言っているのですか。” is asking for an explanation about what the person is currently talking about. It’s used when the speaker is confused or wants to know more about the subject matter being discussed.