Although this question may seem innocent, it's actually illegal. Stay professional and simply ask for clarification.
Did you mean to ask me if I'm legally allowed to work in this country? If so, I'm fully authorized to live and work in the U.S.
If you feel uncomfortable answering, politely respond with a question of your own to avoid giving a direct response.
Sorry, I don’t really understand the relevance of that question. Why do you ask?