This is an expression that people say when they're worried that they're going to find out about something bad happening. They say "Please tell me" that the bad thing isn't happening.

For example, if there's a guy who you really don't like, but you think that your friend might be attracted to him, you can say:

Please tell me you're not attracted to him.

In the example at top, the speaker uses "please tell me ~" when talking to himself. That's normal too.