When Marlow goes to visit Kurtz's fiancée, she asks what Kurtz's last words were. As we know, his last words were "'The horror! The horror!" However, Marlow tells her his last words were her name:
The last word he pronounced was—your name.
Marlow does this because the fiancée has an exalted and romanticized vision in her mind of Kurtz as a "noble" man who would have done great and good things in the world for the betterment of the human race. She thinks she understood her betrothed. Marlow doesn't want to shatter her illusions. He doesn't want her to know the terrible reality of what was going in Africa and Kurtz's part in it.
Marlow fears for a moment that the heavens will fall because of the magnitude of the lie he has told in allowing the fiancée her illusions. Yes, he says of the truth,
I could not tell her. It would have been too dark—too dark altogether....
Throughout the novel, Marlow paints the women left behind at home in Europe as out-of-touch idealizers of imperialism. He says that when he gets his job in Africa, his aunt thinks of him as a sort of minor "apostle" going to enlighten the natives. He says,
It's queer how out of touch with truth women are. They live in a world of their own, and there had never been anything like it, and never can be.
Of course, as Marlow later admits, he believes and colludes in keeping women ignorant of what is really going. He states,
They—the women, I mean—are out of it—should be out of it. We must help them to stay in that beautiful world of their own, lest ours gets worse.
Marlow, a sexist, is looking for redemption through keeping European women pure: of course, there is no real redemption in telling them a lie that encourages them to continue romanticizing evil, as Kurtz's fiancée will do. However, Marlowe's anguish at not telling her the truth shows how conflicted he is about this lie, too.