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.
You just don't want to face the truth, so go ahead and continue to live in your make believe world.
NEW ORLEANS - The cursing had stopped. The tears were gone. Mayor Ray Nagin returned from his meeting with President Bush on Friday a picture of calm, leaning back against a railing in a hotel lobby that for the first time in nearly five days wasn‘t filled with stranded tourists.
"Today was a turning point, I think," he said. "My philosophy is never get too high, never get too low. ... I always try to keep my emotions in check and yesterday I kind of went off a little bit. I was worried about that, but it maybe worked out. I don‘t know. If the CIA slips me something and next week you don‘t see me, you‘ll all know what happened."
http://www.leadingthecharge.com/stories/news-0067417.html
"Mayor Ray Nagin of New Orleans went on the tube and started screaming and cursing that the government wasn’t doing anything to help anyone in his city. He bellowed that he didn’t want to see anyone talking in a news conference anymore. He said this to the news media, of course. When it comes to all the people trying to help, Nagin said, "There’s one guy here that I trust," (a certain general). So the mayor believes everyone else risking their lives to save the city he failed is untrustworthy. Mayor Nagin, you are all done, mister. You failed to prepare your city for the long-awaited monster storm everyone knew would one day arrive. Your city is one of the most murderous in the country. You can’t get nearly enough cops to work in your city because of low pay and extreme danger. You had no enforceable mandatory evacuation plan whatsoever. And now you are telling the world that it’s everyone’s fault but your own. You didn’t even have a plan to evacuate the hospitals. You demonstrated just how much of a screwball you are when you told an Associated Press reporter: "If the CIA slips me something next week and you don’t see me, you’ll all know what happened." You followed up this bizarre statement with another to CNN, saying live on national television that you are petrified the "CIA make take me out." Buddy, you are a paranoid freak who belongs somewhere other than in office. The CIA has far more important people to deal with than you, lad. How a clueless buffoon such as yourself ever became mayor of a major American city ranks among mysteries right up there with Marion Barry."
http://www.mensnewsdaily.com/archive/m-n/newman/2005/newman090505.htm