The situation is my boss said to me to inform Person1 to call the boss.
He said to me that he wants you to call him.
Is this correct? Or can say like
He wants you to call me.
I prefer to avoid report speech.
Instead of using the verb "say" with the proposition "to", you can use the verb "tell", which may work better for this case, although the meaning is similar (read more here).
You can use the following:
He said that he wants you to call him. (close to your suggested sentence, but "to me" is not the idiomatic use. This is indeed reported speech)
He told me that he wants you to call him. (he passed a message, not necessarily using these exact words; this is also reported speech)
He told me to tell you to call him. (This is not reported speech; it is an instruction to give an instruction)
He wants you to call him. (No telling or saying, so it is not reported speech; you are making a simple statement).