I always thought that in the Russian word "what-what?" we simply say the question word twice, but most likely historically it's not so.
In Czech the question word "what?" translates as "co?"
But in Russian there's also a conjunction "that" (example: "I said that you're great")
The conjunction in turn translates to Czech as "že" (example: "Řekl jsem, že jsi molodec")
(let's skip for now how the Russian "же" translates to Czech)
The question can be posed like this: "Which of the 'what's' do we repeat in 'what-what?', the conjunction or the question word?
Czech can theoretically help with this. To Czech "What-what?" translates as "Cože?". I.e. purely theoretically, in "what-what" we have two different "what"s, not the same one.
The second translation of Russian "what-what?" to Czech will be "copak?", i.e. "What then?"
From this we can deduce that the first "what" in "what-what?" is a question word, and the second is precisely a conjunction.
So next time when you say "what-what?", remember that the second "what" is most likely a conjunction, and ancestors invented this kind of wordplay.