(Not a Teacher)
Not quite. I'd write it like this:
"He says he's never heard of the ABC company and has nothing to do with them (or "it")."
However, if you're dead set on keeping "no idea":
"He says he has no idea what (or "who") the ABC company is and has nothing to do with it (or "them")."
If you are wondering about the "what/it, who/them" thing, remember that it's dependent upon how you view a corporation or company, either as a single entity or a collection of people.
- For Teachers