Actually this happens all the time since I work with a lot of colleagues whose first language is not English. Usually I would politely say: (1) “I’m sorry. Can you say that again?”, or (2) “I didn’t catch that. Can you repeat?”
I have one of those brains that tend to make sense even when there is none to make. So, when I mishear my fiancé, I repeat what I think I heard, with a little weirdness added on purpose.
He: mumble mumble I saw Doreen and she said their mortgage came through Me: Eh? Dory mourns canine does?
"Who shot who in the what now? or “The what what?” with friends. Usually it’s “I’m sorry” or “I didn’t catch that” at work. I’m excessively polite/apologetic sometimes.