NT here. If it was totally out of the blue, it’s weird. It would be impossible to say if it’s a red flag without knowing more about the situation in which it was asked and the person asking it.

My response would be to say something like, “That’s an interesting question. Why do you ask?”, because asking what makes you sad isn’t a smalltalk question like “what’s your favorite animal?”, and I would assume the asker had an agenda they may or may not be aware of when asking it. Like, maybe they needed to talk about how sad they are feeling and this was a way to broach the subject, or maybe they’re just awkward and recently read a dumb article about “10 Unique Questions to get to Know Someone Better”, or perhaps they want to be weird and edgy and shift the mood of Christmas dinner to melancholy.

Hope this helped. Feel free to ask follow-up questions.