Hey Sesame!
The correct is "We'll have no class on the next session", assuming that you normally have one class each session.
If you say: "We'll have no classes on the next session", you are saying that normally you have classes (more than one) in your session, but on the next, you will have no one.
But, if you have only one class each session, and on the next time you will not have any, then you can say that there will be no session at all. In case of you are gonna have the session even with no class, just a free activity for example, then it becomes acceptable again.
I hope this helps!