I have been in this position before, and while it could be something illegal or unethical, it could just as well be a perfectly legitimate request with a legitimate reason.
When someone in a high access position like this leaves their position, there's often legitimate concern that he/she will destroy company data that they feel entitled to (or want to deny the company), and/or use that company data in their next role to undermine their former employer or for personal gain (think poaching customers, or bringing business relationships with them to the next place). Obviously, making sure this doesn't happen is a matter that must be dealt with discretely, as tipping the person off will only make it happen faster, and generally speaking, no one wants these suspicions to be common knowledge.
You could ask for written permission... but that would probably conflict with the goal of discretion, and especially if it's a company owned laptop, in the US, that data belongs to the company, not the ex-employee, regardless of his position. So the company's agents (the new CEO) are legally entitled to that data, and allowed to be as discrete or as obvious as they want about getting it.
My advice to you is that rather than just copying the files requested, is to take a backup of the laptop, with whatever means you have at your disposal and document the request and process. (Disk image, same software you use to backup your servers, scripted robocopy or whatever.) Compared to a targeted copying of important files, backing up an executive's machine when they leave is hard to frame as snooping or unauthorized access, which makes it difficult for you to get thrown under the bus, especially if you keep a written record of what you did when you did it, and at whose request. In this case, you would then give the backup to the new CEO, and instruct him on how to search and extract the files he wants. That way if there's any malfeasance going on, you just did what a good IT guy does, and made backups, while the new CEO was the one who went snooping through the backups.
And, going forward, it's a good idea to get this process enshrined in an official policy - it protects you from any accusations if it's just the normal process, and every now and then, you'll get to be the hero when you can pull the critical files that some ex-employee had on their machine that no one knew they were missing, until they need them, NOW.