He's either completely cracked or just 'jonesing.'
It could also be a desperate attempt at forcing the feds to provide him with some additional security, because he's afraid of his own municipal personnel.
Consider the possibilities: New Orleans is well-known to be more-or-less controlled by "certain business elements" who prefer a "low profile". Anyone who makes it to the Mayor's office is, shall we say, mighty beholden to those folks, and they in turn "take good care of him".
Now, his incredible incompetence has just cost those nice folks a hell of a lot of money, and unlike our government, those folks demand and enforce "accountability". I believe his fear is justified, but it's not the CIA nor disgruntled constituents he fears.