The reason it's a fair question, IMO, is because a poll taken last year suggested that 54% of all Republicans believe that Obama is secretly a Muslim, while another 29% is not sure. Those are pretty depressing numbers. (if anyone wants a link, I got those numbers from a Dana Millbank article that is featured today at Real Clear Politics).
So I think Walker's answer is political, just like his comment earlier this year that he didn't know if evolution was real. He's playing to the worst part of the Republican base, and it's depressing.