He is so honest that he would never ___ a lie.

The fixed collocation is 'tell a lie'. 'Say a lie' and 'speak a lie' are not idiomatic, although we do 'say' a prayer or 'speak' the truth. Collocations must be learnt as units. Collocations are habitual word pairings, so practise them as whole phrases instead of translating word by word.