If you're talking about a phrase, or sentence, or a word, then the most natural is: "How do you say it in English?" Or "How would you say that in English?"
If you're talking about a thing (like an apple, for example), you could say, "what do you call it in English?"
I would agree with your teacher that you shouldn't say either "How do you call it in English" or "what do you say it in English".