I'm going to lie to my ex-husband about where our kids wanted to go for christmas because I do not want him spending a week with his mistress
Can you tell me what happened?
She is begging me to see the kids, but I don't want her to.
It sounds like a bad situation all around and I can understand your concern.  You should set boundaries and do it in a way that does not require lying in order to avoid drama and keep credibility.
I have thought about it. Do you have any suggestions?
I think you should be honest with him about the whole situation. The kids probably don't need to know what is going on fully. Keep it between the adults.