Considering the consistently poor roster decisions of late by the Pelicans' front office, namely letting Rajon Rondo and DeMarcus Cousins leave for nothing this past summer, it's hard to blame Davis for losing his patience. Sitting at 22-28 so far this season, the Pelicans are firmly outside the Western Conference playoff picture with no help in sight.
As far as teams that could potentially trade for the top-5 player, the Los Angeles Lakers and Boston Celtics are two teams that have been consistently discussed. Davis requesting a trade during the season is significantly better for the Lakers, since the Celtics can't trade for Davis while point guard Kyrie Irving is on his current contract (thanks to the Rose Rule.)
A trade for Davis would cost a haul of assets for the team that acquires his services. It's unclear what the Pelicans would be searching for in a trade at this point, but considering their current record and roster, a full rebuild may be in their future. As such, young potential players and draft picks should be their goal. Do not count out the Los Angeles Clippers and the New York Knicks, two big market teams with the assets to make a deal happen.