there is none, it is implied. Dom is an indirect object "to me". But we have know idea WHAT he was telling me. Probably it is a reference to a previous sentence.
You know that Paul is now the President?
Yeah, he was telling me...
My idiolect would definitely use "He was telling me" more than "He was saying to me." In fact, the latter sounds distinctly 'weird' to me. Though the former would generally have something else with it, of course.