One fun thing about being around children is that it teaches you things about your own language that you never realized. Children often say things that are perfectly logically constructed, but that are jarringly unidiomatic, in a way you hadn’t noticed precisely because the usage is so uncommon. (OK, that’s one fun thing for me about being around children — your mileage may vary.)
An example: Generally speaking, pronouns and nouns have similar grammatical roles in a typical sentence, with respect to the verbs in the sentence. “The dog ate the food.” “Have you seen what the dog did? It ate the food.” “It” and “the dog” are grammatically interchangeable in that context. (I’m speaking here of their relationships with verbs; their relationships with adjectives differ, I suspect largely because the specificity of the pronoun’s referent generally makes adjectives unnecessary for pronouns — one generally wouldn’t talk about “the tall she,” though “the tall woman” is just fine.)
Yet, I recently learned from hearing a child speak, in one common verb-linked context using a pronoun is highly unidiomatic, though using a noun is perfectly fine. For verbs such as “give,” “show,” and the like, you can say either (for instance) “give [noun/noun phrase] to me” or “give me [noun/noun phrase]” — “give me the dog” or “give the dog to me.” There may at times be a subtle difference in emphasis between the two, but both are quite normal.
But try substituting a personal pronoun, and one option is highly unidiomatic: “Show it to me” is very common, but “show me it” sounds very odd, at least to my ear (and Google Ngrams bears this out, especially once one looks at the results and see how many of the “show me it” phrases are false positives). “Give me the dog” is fine, “give the dog to me” is fine, “give him to me” is fine (if you use “him” or “her” to refer to pets), but “give me him” is right out. [UPDATE: I speak here of personal pronouns; I think the matter is different for relative pronouns -- "give me that" is fairly idiomatic, I think.]
You say, why? (You say, why? You say, why?) Don’t ask me why. That’s just the way English (or at least American English) works. And it’s such a familiar rule that I didn’t even know it existed until I heard a child, using eminently sound logic, depart from it.