"I'd like to ask you (guys) one question."
"I heard that one the news" would be the correct way to say this.
"I heard that on the news": on is a preposition also used to refer to a device (phone, computer, TV). "I was talking on the phone." "I saw it on television." But if the news source was the paper you would say, "I read it in the news."
"I heard that from the news": this would be improper use of the preposition 'from'. You could switch out 'news' for a person and then it would make sense. "I heard that from James."