As Huck Finn has many Christian themes, that is of course a reference to praying to the Christian God, who, in Christianity, is omniscient (all-knowing), so God would know when someone lied, and lying would be a sin against God. Therefore, to pray on a lie is contradictory, since a person would technically be praying for a sin.

For a prayer to be heard, your heart must be right with God. To pray on a lie would be to pray when your heart is elsewhere, or when you pray for something that is a lie. Actually, I suppose you could pray on a lie, but it wouldn't go any higher than the ceiling.

Huck was about to pray and promise to stop being wicked, but realized he couldn't promise that while still keeping the secret that he knew where Jim was. He would be praying a lie if he made a promise he knew he wouldn't keep.