Is it okay to say "Yes no, I don't want to"? People seem confused by it. Is it correct? If not, why?
Although the word-to-word translation of да нет is yes no, the meaning is not carried into English. (Quite frequently, the results of word-to-word translations do not make sense in the target language.) See Russian Language & Usage: What does the phrase "Да нет" mean? for information on how it translates to English.
In English, when people say yes no, it is usually because they changed their minds immediately after saying yes, and quickly say no. When you say this, it makes you sound indecisive, and confuses people; they wonder whether you mean yes or no.
Therefore, it would be better to say No, I don't want to.
Using both "yes" and "no", especially right next to each other, is contradictory. Since you are saying "I don't want to", you should accompany that with "no", so you'd just say
No, I don't want to.
In South Africa, we tend to say "Ja no" a lot (meaning "yes no"). We don't regard it as being indecisive, and use it when we are agreeing wholeheartedly with something someone else said. Similarly to when someone says, for example, "that band was good", and another would say, "No, it was great". South Africans just add a "Ja" in front. I think it is the same in English. :)
Another example: Do you like sushi? Ja no I love it! (Or yes no I love it)