But I have head it in an English learning program. Maybe the first do in 'what do you do' was pronounced very light so that I didn't hear it.
As to "asking someone what their occupation is". Is this sentence correct? (I would not like to offend you!). According to my knowledge, maybe it is 'someone what his or her occupation is'.
We are speaking quite informally here on the Forum, so "their" is quite acceptable in this context. It is not always necessary to say "his or her" in such cases. "their" can be used instead.
In informal conversation, people do slur their words, and it is quite possible that you heard