Can you help me with that?
X with Y has a lot of meanings. One meaning is "uses Y in doing/achieving/obtaining X".
So you can think of this as meaning "Can you help me to use/do/get that?"
Can you help me on that?
X on Y has a lot of meanings. One meaning is to say Y is a topic, when X is a conversation or other event where information is exchanged, such as a class, book, etc.
So you can think of this as meaning "Can you give me any help regarding the topic of Y?"
Can you help me about that?
X about Y has a few meanings. One meaning is that Y is something to understand or learn. Another meaning is that you are near Y such that you can be considered exposed to it.
However, about kinda-sorta has an underlying "need" to work like a location (and it also has a less common meaning that's related to location as well). Therefore, verbs with about generally tend to be "directed" with to.
When the meaning is similar to on Y above, the concept is that you are being "exposed" to the knowledge.
Help is not a verb that can take a complement that's a location, so help me about X is weird. But there's other verbs that work fine.
I'm walking about the rose garden. (you're physically in the rose garden)
Show me about the roses. (can mean take me through a rose garden or introduce me about your rose collection)
Can you talk to me about that?