They are both correct, but they have different meanings.
"I have cheated on you" means that you have had intimate relations with someone other than your significant other and now you are admitting it to them.
"I have cheated you" just means you didn't act in a fair way towards someone. For example, imagine you misled your friend into selling you a car for less than it is worth. If you want to confess, you can start your apology with the phrase "I have cheated you."
I hope that makes sense. I found this a little hard to explain.