I suppose that just like with gifts and bribes there is a spectrum here ranging from no problem to serious problem. If your boss asks you to tell someone that she doesn't want to see that she's out or in a meeting, it's hard to put up much objection. But if your boss wants you mislead other people, inside or outside the company, about substantive matters, that's another story. Probably the best thing to say first is "I'm not really comfortable saying that" and hope that's enough. You could also try "I don't think that misrepresenting the situation is in our best interests", but that's close to calling the boss a liar. There's not much else to do except to go to HR if your boss persists.
It's hard for me to imagine the type of person that would put an employee in this kind of uncomfortable position, but then again there are bosses who intimidate and harass employees too. I wouldn't put up with a jerk like that.
