What the?

My Nephew (age 6) has a new expression. My Sister and her girlfriend are distressed by it. I'm not sure what to think. This new expression? "What the?" NOT "what the h___?" or "what the f___?" (or what I say: "what the eff?") Just plain "what the?"

He doesn't seem to know (yet) that another word comes after. I suspect that an adult in his life (a teacher, perhaps, or a soccer coach) has some self-censorship skills but not quite sufficient to censor out the entire phrase. So, is it worth it for My Sister to teach him that it's not an appropriate phrase? No bad words included in what he says; does teaching him that it's not a good thing to say introduce the full versions? Hence my confusion. I actually thought it was kind of cute. (My guess is that a 6 year old kiddo who comes to live with me will know the ends of the phrase and the situation will therefore be different.)

My Sister didn't ask for advice, but I'm interested in your thoughts...