It's an interrogative sentence, not a declarative sentence, so let's look at the declarative sentence first: Du willst mir etwas sagen. du = subject mir = dative object etwas = accusative object So the question "what is THE object" doesn't make sense, there are two objects. In the interrogative sentence, you can exchange one of the objects for an interrogative pronoun: Wem willst du etwas sagen? (Asks for the dative object) Was willst du mir sagen? (Asks for the accusative object). Don't try to understand German grammar by translating it; English only has one kind of of object.

To me, it seems as though "me" is the object and "you" are the subject, so shouldn't it be "mich" and not "mir"?