Consulting a Hindi-English dictionary lead me to think that the differences between 'say' and 'tell' are not reflected in Hindi, and that like most other languages one word can do, what seems to English speakers, like double duty. Say/tell is a major stumbling block for learners of English because the difference is not necessarily meaning, but rather structural. "Tell" needs an indirect object and "say" doesn't. "Tell your name' sounds like an error to English speakers.
It is important to do research on how non Hindi speakers of English express themselves in English, It is strange to see perfectly correct English sentences being rejected in this Hindi course which after all is being directed mainly to speakers of English (not "Hindi" English or Hinglish.)