President Trump’s declaration that “I don’t have an attorney general” was not merely the cry of an executive feeling betrayed by a subordinate. It was also a raw expression of vulnerability and anger from a president who associates say increasingly believes he is unprotected — with the Russia investigation steamrolling ahead, anonymous administration officials seeking to undermine him and the specter of impeachment proceedings, should the Democrats retake the House on Nov. 6. In a freewheeling and friendly interview published Wednesday, Trump savaged Attorney General Jeff Sessions, mocking the nation’s top law enforcement official for coming off as “mixed up...