Here, "什么" can not be translated directly, I'm afraid.
There are two possibilities.
It may indicate that:
.
I want to say something, but I don't know how to express it.
It often happens to a person who is not very good at expressing his/her feelings or opinions with proper words.
.
I want to say something, but I can't speak it out for some reason. Usually, "什么" replaces some bad word.