Truth. You tell them the truth.
If you lie, you're dishonoring their final wish by taking it into your own hands to do what you feel is right for a person on their deathbed. And for what? A final few moments of disillusioned comfort when they want clarity and closure for their last hour on this earth? If they wanted comfort, they would have asked for comfort. Instead, they asked for the truth. That is what you give them.
A moment like this is a test of character. If you're writing a story, you want to consider all aspects of the possible choices, and what they reflect upon the person making them.
Who's doing the asking? The protagonist? What kind of person is he? Is he so shortsighted that he would lie to someone on their deathbed because from his perspective, it's the right thing to do? Or would he brace himself and tell a groundbreaking truth to someone because he feels they deserve to know, despite how it makes either party feel? Do his morals outweigh his own interests? How much does he respect the dying person?
This kind of context is important, a lot more so that "What is it they want to know?" That's merely peanuts, since it's already been established that telling the truth would be awkward, disconcerting, and distressing.
