In this (simple) sentence:
Se lo dijo la historia. (He told her the story.)
I think this is also right:
Le lo dijo la historia.
But the latter doesn't seem so prevalent or even acceptable. What's the reason for that?
En esta oración simple:
Se lo dijo la historia.
Pienso también esa es correcto:
Le lo dijo la historia.
Sino la última no parece tan frecuente o aún admisible. ¿Por qué es esa cosa? (No pregunto de "cuándo", sino pregunto de "porqué".)
You were already answered the question when to use se lo but I understand your question is more why using se lo instead of the expected le lo?
Like a lot of people, I wrongly believed this irregularity was due to euphonious reasons, le lo being considered unpleasing to the ear.
Le digo una cosa = I tell something to you
Lo digo = I tell it
but
Le lo digo
becomes
Se lo digo = I tell it to you
Same in the imperative mood:
Dílo = Tell it
Dime = Tell me
Dímelo = Tell it to me
Dile = Tell him
Díselo = Tell it to him
However, there is no real cacophony in lelo, the first name Lola or the substantive pelele (dummy) do not present any problem in Spanish, not to mention lelo exists in Spanish both as a substantive and an adjective.
One way to understand why Spanish uses selo is to look at the Italian usage:
Dimmelo = Dímelo
Digli = Dile = Tell him
Dillo = Dilo = Tell it
Diglielo = Díselo = Tell it to him
The pronoun starts with an [ʎ] sound. It is coming from the Latin illi.
Similarily, illi gave ge \ʒe\ in ancient Spanish so the old form was
Dígelo
The alternative form díselo superseded the former and is now the norm:
Real Academia Española de la lengua, Nueva gramática de la lengua española, Madrid, Espasa Libros, 2009
Téngase en cuenta que una vez que se llega a la forma gelo, con prepalatal sorda, quedaban abiertas dos opciones : la velarización, que seguiría un proceso natural desde el punto de vista fonológico, pero crearía una forma pronominal aislada, y la asimilación analógica a las combinaciones con el reflexivo, que se vio facilitada por la proximidad fonética de la prepalatal con la retrofleja.
Source (if you read French) : De la morphosyntaxe du pronom complément indirect en espagnol : * Le lo, ge lo, se lo
The reason you see le transform in front of lo/la/los/las has to do with the history of Spanish. In Old Spanish, the combination le(s) + lo/a/os/as was written gelo/a/os/as (with the g pronounced as [ʒ], as in the first consonant of azure or the second consonant in equation). The palatization came about from the Latin illi illum that progressed to (e)liélo, to llelo and then finally to gelo.
That much is well established. What is less known is exactly what caused the transformation such that the -s in les disappeared. It definitely had a tendency to disappear in some other places (cf. Portuguese nos/vos + o(s) = no-lo(s)/vo-la(s), or Castilian vamos + nos = vámonos) but in this particular case it only happened in front of /l/. Menéndez Pidal felt that that came from Leonese influence (although modern Leonese languages don't do that: Asturianu dio-yoslu = Castilian se(les) lo dio), but that's not settled.
As the [ʒ] sound fell out of use in Spanish around the year 1500, gelo/a/os/as quickly ended up as selo/a/os/as, and then was separated out graphically again in se lo/a/os/as.
Your examples do not mean what you mean to say, but leaving that aside, your issue is with why you must say se lo and not le lo (or lo le). The answer is: because it's just like that.
There are a number of clitic (short, non-emphatic) personal pronouns in Spanish. They can be used in verb phrases as direct objects (accusative), or as indirect objects (dative).
The pronouns for the first and second persons, singular and plural, look the same in the accusative and in the dative: me, te, nos, os (note that os is used only in Spain; it corresponds to the subject pronoun vosotros).
The accusative third person pronouns vary in gender and number: they are lo, la for masculine and feminine singular, respectively, and los, las for the plural. The dative third person pronouns are singular le and plural les (they do not inflect for gender).
Some verbs (called ditransitive) can take both a direct and an indirect object, and if both of the objects are replaced by pronouns, there are some rules about that. The first rule is that the dative pronoun goes first, then the accusative, so it must be
Me lo diste. = "You gave it to me."
not
*Lo me diste.
The same rule applies even if the pronouns go after the verb, as is the case in imperatives:
Dámelo. = "Give it to me."
The rule that concerns you question is that, in addition to the above, the third person dative pronouns le and les can't be in the same phrase as the third person accusative pronouns lo, la, los, las; if they do appear, they change to se (which does not inflect for gender or number). So, if in my examples above we wished to change the first person into third person, we will have to change le into se:
Se lo diste. = "You gave it to him/her."
Dáselo. = "Give it to him/her."
I gave a few more examples in a related question about the uses of the pronoun se.
I think this is also right:
Le lo dijo la historia.
As some already commented, the second example is wrong. In DPD you can find this explanation:
1. Se pronominal Como pronombre personal, invariable en género y número, tiene distintos valores:
a) Variante formal de le(s).
Cuando el pronombre de dativo le(s) precede a alguno de los pronombres de acusativo de tercera persona lo(s), la(s), adopta la forma se: Les compré caramelos > Se los compré; Le puse los zapatos > Se los puse.
So in this case you have a dative pronoun (le) which is before a accusative pronoun (los). The le adopts the form "se" as the rule explains.
When using direct and indirect objects together, if they both begin with the letter L, the L in the indirect object is changed to an S. For example,
Él se lo dice a Juan.
In this case, le would replace Juan, but since le and lo both begin with an L, it is changed to an S.
lo lo. Maybe we could say "Dálolo" or even "Dálala", which makes people think I'm a freak :)