Learn Portuguese (Portugal): Nunca escutas o que digo!

When "what" is not a question word, but instead means "the thing that", Portuguese uses o que (or aquilo que). If you only used que, it would translate to "that" ("You never listen that I say"), which leaves the sentence incomplete.

In English we say "listen to what I say". Why isn't there a word for "to" after escutas?

The Portuguese verb escutar means "to listen to". The "to" is already built directly into the meaning of the verb, so you don't need to add an extra preposition before o que.

Could I use ouvir instead of escutar here?

Yes, saying Nunca ouves o que digo! is also very common. While ouvir strictly means "to hear" and escutar means "to listen" (making an effort to hear), native speakers frequently use ouvir interchangeably with escutar in everyday conversation.

Where are the words for "you" and "I" in this sentence?

They are built into the verb endings! Escutas is the tu (you) form, and digo is the eu (I) form of the verb dizer (to say). Because these verb forms tell us exactly who is doing the action, Portuguese usually drops the subject pronouns entirely.