In our negotiation class, the professor argued that when the US gave an ultimatum to Saddam Hussein, they gave him no other option but to say No. There was no way out for him. This would mean of course, that they were already set about invading the country, and this was an artefact to please the international community.
Here is how the professor went about persuading us.

He asked us to behave as if we were Saddam Hussein - that was the biggest challenge of the exercise.

Then he delivered the ultimatum:
"You have 48 hrs to decide to surrender right now to the US Army or we invade your country"

The question from "our" perspective can be rephrased as follows - or in other terms: what is the UNDERSTOOD question
"do I want to surrender to the Son of Satan and spend the rest of my life in jail?"

Then we looked at the positives and negatives of a "Yes" answer (meaning, surrender option), always from Saddam's perspective. It was important to use Saddam's words and the pronoun "I"

+ country is not invaded
- I give in to the Son of Satan
- I lose face
- I go to jail
- I can be killed
- I will be perceived as a weak leader in the Arab community
- I lose power
- I lose my money
- probable exile for all of my family members
- I must deal with the US which represent the most hated power in the world (from my perspective)
- I destroy my ideal
- my country needs me, I can't leave them
- I will not be the historical hero I want to be
etc...

Loads of minuses.

Then we turned to the possibility and effects of a "No" answer
+ last time someone from the Bush family tried that, I stayed in power and he did not get re-elected, so let's say no
- my country will be invaded and there will be a war
+ I could win this war
+ I could just hide. After all I am a dictator, time's on my side. Bush is elected, time's not on his side
+ I'll get support from international community, they can't agree on what to do
+ other Arab states will come and rescue me
+ I will be a hero
+ I will be perceived like a persecuted but strong Arab leader
+ I might stay in power
+ I will go on and fight this Holy War against the Son of Satan
+ resentment against the US will rise in my country (already fairly high because of embargo)
- I might go to jail, I might be killed

Loads of pluses

"is anyone now surprised that Saddam said No to the ultimatum?"

Next step would be to try to reformulate the question to offer a way out and change the perceptions of negatives/positives for each option. In this particular case, if it were not done, it probably means that it was not intended.

So, when the UK organize a referendum about joining the Euro zone, what do you think the Brits understood the question to be?