***** NOT A TEACHER *****
Don't tell your teacher. But you are right. "To" is not the correct preposition.
1." Ask each other [actually "one another" for three or more persons] follow-up questions."
2. "Ask follow-up questions of one another."
3. If you wish to speak "perfect" English, you should say something like:
"Excuse me. May I please ask a question of you?"
Most people, however, simply say "Can I ask you a question?"
P.S. If a thoughtless neighbor is playing music too loudly, you might say "Excuse me. May I ask a big favor of you?
I really need my sleep. Is there a chance of turning down the volume?"