The auxiliary verb 'do' is not used because this is not a question. It is an imperative sentence.

It's an indirect question. You don't use "do/does/did" in indirect questions. An indirect question could also be embedded within another question and you still wouldn't use a form of "do": Why won't you tell me what you need?

You can use it, but you need a comma or a some kind of a pause: "please tell me, what do you need?"

Hello pretty girl