What does 些 mean when it's combined with 什麼?
You are correct, "些" is used to mean "a few" and it also applies in the example you gave above - ie. you can't even find 'a few' words to say.

I believe you can also leave out "些" and it will still mean almost the same thing. To me, with/without "些" the sentence means the same thing but has a slightly different emphasis/tone to it. 

For me, with "些" it feels a bit 'softer'...as if you are genuinely out of words (maybe you saw something and suddenly lost for words); whilst without "些" it sounds like you are frustrated (someone has annoyed you, did something stupid) and you don't know how to comment/what to say to them.

ps. I would personally say:


  我就是不知道要說(些)什麼


pps. I'm also learning Chinese, so confirmation from someone who is a native speaker would be nice :)