Thinking Jem was the killer, Atticus was unwilling to go along with the story that Ewells had fallen on his knife. Why not?

Atticus Finch was nothing if not a man of integrity.  His moral compass demanded that he act with honesty in all aspects of his life, both personal and professional.  Of defending Tom Robinson, he said he couldn't live with himself or face his children if he didn't do his best to help the man, even if the ending was a foregone conclusion.  He stated the same thing to Heck regarding the Ewell incident. He didn't believe he could face his children, or expect them to have any respect for him whatsoever if he didn't "walk his talk" and live the way he made it clear he expected them to live.  Only when Heck alluded to Arthur Radley's role in the incident, and what it might do to him to be part of a murder investigation and thereby thrust into public view, for which he was clearly unprepared, only then did Atticus relent.