I don't know if it is technically incorrect, but 'asking a wrong person' feel as though you are assigning that person with the property of wrongness, rather than making a mistake yourself.
So, in an example take from a comment
You are asking a stupid person
is okay, since stupid is possibly a suitable adjective for that person, whereas
You are asking a wrong person
implies that the person being questioned has an innate property of wrongness, which isn't the meaning of the phrase. It is the questioner that is wrong.
You could sort of make the phrase work in the right context, such as
Listen boy, there are two types of people in the world. There are the
right people, those who share our views and the wrong people. When you don't
know what to do and need advice, make sure you're not asking a wrong person.
If there are multiple people who a question could be addressed to, the phrase used is
You are asking the wrong people
or to make it more explicit that you are only asking one person
You are asking one of the wrong people