Learn English – didn’t tell a lie IN / ON any occasion

"Don't lie to me" is the phrase you want.

Here's a breakdown of the rest:

• Don't lie with me.

Don't lie (in the bed) with me. Never said, but this is what it would mean.

• Don't lie on me.

Don't sleep on top of me. Rarely said because who wants to lie on another person?

• Don't lie me.

Makes no sense. Lie does not take a direct object.

• Don't lie.

Makes sense, but you're not specifying that they shouldn't lie to you in particular, but that they should not lie to anyone in general.

The second is correct and is a phrase that probably every child in the UK has heard whenever they have done something they should not have done or not done something that they should.

It does not really make much sense, but is a kind of cry of exasperation on the part of the person saying it along the lines :"I have told you this a hundred times already, how many more times will I have to tell before you take any notice?"