Some more context would be helpful, but generally it means who will be the next person affected by a certain unpleasant action . For example, if a company has decided that they need to reduce the number of employees, every employee will be afraid that they will be the next one to be told that they won't have a job any more. The idea is that it is like an ax falling and cutting off something: who or what will be the next to be cut off?
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mirmohamad"Everyone is scared to death wondering where the ax will fall next."It can also refer to a program or project that has been terminated, and another one is expected soon.