Talk to the client and find out what their reasons are for them to make that request. During this process you can probe how much your client understands the processes involved in doing what they want. If they understand the processes and the problem you have with the request presents itself obviously, straight up ask what they expect to receive given the problems that exist. Who knows maybe they think they want z from X but really what they want is z from y and talking through it you might work this out.
If the client doesn't understand the process enough for the problem to be obvious to them, then I would explain it. After both of these things I would continue ahead and complete the task unless requested otherwise by the client ,aka full steam ahead unless they change their mind. Even if it's dumb shit your still getting paid to do something atleast and your making your client happy which is all that matters.
Also this might come across formally but in irl you can do all of this in really unobtrusive ways using some good casual banter about the task at hand. Keep it friendly, remember "there are no stupid questions only stupid answers".
