"Don't even try it" or "Don't even go there"
It's a way of saying that something is not going to happen, or that you are not going to allow it to happen. It can be used in a playful or serious way, depending on the context.
Here are some English equivalents that capture the same meaning:
* Don't even think about it.
* Forget it.
* Not a chance.
* No way.
* It's not gonna happen.
The literal translation of "nem vem que não tem" would be something like "don't come because there isn't". However, this literal translation doesn't capture the full meaning of the expression.