“What the Monkey!” is an expression which can be applied to almost any situation. It is not a question, it is a statement. Something like "What the F'"but to avoid cursing. "What the Monkey" is an expression usually when you are describing some kind of accident or surprise that had happened but it's funny. Like you watch some Funny Home Video about a guy trying to make a dive in the pool but the board broke or a cows trying to chase after you and make love.
Mary: "Hey, Kevin passed out last night and they stuck a carrot in his nose and a Pineapple on his head. Then they took pictures"
Peter: "Hahaha...What the Monkey!"
Wes: "What the Monkey!! Who the heck threw my underwear on the chandelier?"