Learn German: Sag mir bitte Bescheid, wenn du kommst. - Please let me know when you are coming.

In German, Bescheid sagen is a fixed phrase meaning to let someone know. Bescheid is actually a noun meaning information or notification, which is why it is capitalized. Literally, you are telling the information to me.

Could I use wann instead of wenn here?

Yes, but it changes the meaning slightly. Using wenn du kommst means when or if you come, focusing on the event itself. If you use wann du kommst, it acts as an indirect question asking what exact time you are arriving.

Why do we use the dative pronoun mir instead of mich?

The verb sagen takes a dative object for the person you are speaking to. You are giving the Bescheid to me, making me the indirect receiver of the action, so ich becomes the dative mir.

Why does the command sag not have an -e at the end?

This is the informal command form for du. The strict grammatical form is sage, but in modern everyday German, that final -e is almost always dropped.