No, he said CIA, as in the CIA is going to wax my a$$.
New Orleans Mayor: "CIA Will Wipe Me Out"
http://www.allheadlinenews.com/articles/7000018155
You can put no stock in that report, it merely quotes the line (which could have been mis-heard) and then makes a story around their interpretation of it.
Both "CIA" or "CYA" could have made sense if he felt he was going to be blamed after the fact and was paranoid about it.
There is no context to his quote, I would want to hear the actual sound bite and the context in which he said it before making a judgement. Did he make more specific comments about the CIA like that they would investigate him, or did he make comments that others would shift blame to him? I didn't hear the comment myself, so I have no idea what else was said.