Please tell me that to do 這句話有問題嗎? that to do 當受詞補語 補充說明me?

Pl tell me "what to do."----correct
The complex sentence is only complete if the noun cl. is present.
"what to do" is a noun cl. relative to the main cl.=Pl. tell me;
The main cl. is incomplete w/o the subordinate cl.,the group of words "what to do"
The subordinate cl. attached to main cl.by sub.conj.that needs not here.
Its role is a standard noun cl. acting as a direct object& an object group;
The Indirect object is "me"in indirect before direct role.

What is if it meas "Please tell me to do that" as a request of permission?

Tell 是授與動詞，其後接間接受詞me及直接受詞what to do,為何不能接that，因為that後面需接孑句，英文用法有其限制性，改成Please tell me that the bus station is north or south.

Please tell me that to do. (X)
Please tell me what to do. (O)
or Please tell me how to do it. (O)

"what to do" is the direct object (not object complement 受詞補語) of the verb "tell", where "me" is the indirect object. The verb "tell", like "give", is a ditransitive verb, which can take two objects.