It has been reported that sports scientist Dank has a signed letter from WADA that approves the use of AOD-9604 but Fahey says it is a process almost unheard of under his agency's guidelines.
The drug has been at the centre of the Essendon supplement scandal, with reports on Thursday stating the Bombers had admitted to administering the drug to its players last season.
On Tuesday, WADA declared the anti-obesity drug was prohibited under its banned substances list and Fahey - in a statement on Thursday - clarified that declaration.
"It (AOD9604) does not have approval from a therapeutic regulator. It has been prohibited (by WADA) since January 1, 2011," the statement read.
Fahey said WADA very rarely gave consent to requests from individuals to approve certain drugs or substances, saying sporting clubs usually sought advice from its relevant sporting body - in this case the Australian Sports Anti-Doping Authority.
''I've never heard before of WADA informing an individual club on what's on the prohibited list,'' Fahey told Fairfax Media.
''I am extremely surprised and I have asked for advice from WADA as a result of this assertion.
''The normal process is to go to the authority within their country, and the normal process would be to seek advice from ASADA and, if they had any doubts, they could seek confirmation from WADA.''
Dank is yet to provide any documentation to the joint ASADA and AFL investigation and has not commented publicly on whether or not he had a document from WADA approving the use of AOD-9604.
However, the way in which Dank sourced the substance may be a potentially redeeming factor for Essendon. Australian laws state that a person can use an unapproved substance if it is sourced from a licensed compounding chemist.
Alleged text messages between Dank and Melbourne doctor Dan Bates, who was stood down from his position last week, also mentions that one of its players may have been linked with the anti-obesity drug.
Melbourne is also currently being investigated by the AFL and ASADA.
