What should the team member do if the CEO asks the team member to do some work outside the goals of the current Sprint in progress?

Even if it is the CEO who is ordering the new project to be made, it is the right of the product owner to know what the CEO is planning to do. If they would coordinate with each other and they would decide that the new project is for the best, then the member will be informed again. That is the time when changes will be made.

Either the current sprint will be finished first in order to complete the current goals or the new project and goal will be added for the next sprint. It will depend on what the CEO and the product owner have decided on doing.