"Non volevo dire a lui ciò" is correct, but never used. We say "Non volevo dirglielo".
I didn't want to tell him this: Wong. I didn't want to tell him that: right. Why?
In which case "I didn't want to tell him THAT" would be "Non volevo dirgli QUELLO". I need to look up ciò.
"Ciò" means questa, codesta or quella cosa, so not only "this" is perfectly correct, but if we think that it comes from "ecce hoc". (= here THIS)......
I think it's: Non volevo dirle ciò.
And what about " ... tell them ..."? I've seen dirgli used for that too, but it is rejected here. Should it be dirli/dirle or dire loro?