"In that way" refers to higher attributes of speech: patterns of thought, eloquence, persuasion, etc. "That way" is more general, referring to just about anything, including low level attributes disconnected from reason such as diction, enthusiasm, or loudness. You can always use "that way", but it would sound odd to say "You spoke much too loudly when you delivered your speech. Don't do it in that way."

Both "that way" and "in that way" can be correct, but they are used differently, and their meanings can vary depending on the context. You say that way: Usage: This phrasing is less common and may sound incomplete. It's usually used when you’re directly referring to how someone says something, often as part of a longer sentence. Example: "You say that way to make it sound more polite." (Here, it might be understood, but "in that way" would be clearer and more standard.) You say in that way: Usage: This is more grammatically standard and clear. It specifies the manner or method in which something is said. Example: "You say it in that way to avoid sounding rude." Summary: "In that way" is generally the correct and more natural phrase when referring to the manner or method of saying something. "That way" on its own might work in casual or incomplete sentences, but it’s less standard and can sound awkward. In most cases, "in that way" is the better choice.