I think it has a bit different meaning - "No digas".
Example:
Do me a favor and don't say anything to anyone.
Hazme un favor y no le digas nada a nadie.
Whereas "No me digas" means "Don't tell me".
Example:
Don't tell me you've really developed a taste for knowledge.
No me digas que realmente has desarrollado un gusto por el conocimiento.