You should make your clients follow a Change Management process, irrespective whether you use Scrum or not. You must agree that you're not immediately doing what your clients ask but arrange the items according to priority and plan them before doing it. If these are some urgent issues, like bugs found on production you should anyway follow the process but fix them more urgently. We're actually doing it this way:
- Assign a priority to the issue
- If it's low or normal priority add it to backlog and plan for a Sprint later on
- If it's urgent assign it to dedicated support engineer who'll make it without Sprint in hotfix code branch The latter point must be avoided as much as possible.