In Roald Dahl's "Lamb to the Slaughter," why don't we get any details of the conversation between Patrick and Mary Maloney in which he tells her about his decision to end things?

There is no conversation. Roald Dahl deliberately avoids any dialoguing between Patrick and Mary Maloney. Instead, Patrick does all the talking and Mary merely listens. She is so astonished by what she is hearing that she is speechless. Dahl's reason for handling this critical part of the story in the way he does is a matter of speculation. It seems likely that the author did not want Mary to participate in any conversation about the subject because that would have made Patrick's decision less settled, less definite, less final. She is--at least at this point in the story--the kind of woman who would have begged and pleaded if she had had an opportunity to do so. She probably wouldn't have contradicted her husband, but she would have been likely to say such things as, "I'm sorry. I can change. I will. I promise. Please give me a chance. What about our baby?"
Instead of presenting a two-way conversation, the author illustrates what Patrick is saying by showing how Mary might be annoying him and suffocating him with her mothering. To Patrick, Mary might come across as too devoted, too loving, too dependent, too attentive. Here are a few examples:

"I'll get it!" she cried, jumping up.
"Darling, shall I get your slippers?"
"Darling," she said. "Would you like me to get you some cheese?"
"Anyway," she went on, "I'll get you some cheese and crackers first.""But you must eat! I'll fix it anyway, and then you can have it or not, as you like."
 

The author must have wanted to make it clear as quickly as possible that Patrick's decision was final. His apparent coldness and brutality make Mary's extreme reaction more plausible. He doesn't give her a chance to protest or ask for clarification. When she clobbers him over the head with the frozen leg of lamb, the reader can understand and sympathize with her abrupt change of character. At the same time, the fact that she has always been so loving and devoted help her to avoid suspicion. Both Patrick and Mary are well known to the investigating officers, and they believe the Maloneys had an ideal marriage.