I had to YouTube this to see what the context he said this in.
Supposedly, Jim Morrison had a church preacher or teacher who stated that you can petition the Lord with prayer. In the "song" above, Jim Morrison affirms that you cannot petition the Lord with prayer.
I would tend to agree with Jim Morrison's take that you cannot petition the Lord with prayer 99.99% of the time. There are rules that the Lord put out, and it is not a democracy to change his mind with petitions on how those rules will affect the consequences of actions. For instance, the Lord already stated, in the 10 Commandments, "Thou shalt not kill." I don't believe the Lord would budge with a petition of a billion people to strike that to unjustly or unlawfully kill.
The other 00.01% of me believes that one can petition the Lord, or at least I want to believe so, in some instances. I would like to believe with prayer, in the instance of 100% certainty, in one's last minutes on the deathbed, one could petition the Lord to take away the pain and suffering, and that be granted to go out peacefully.
These are just two extreme examples of petitioning the Lord, and my interpretation of why a preacher would say it, versus why someone would believe that you can't. Perhaps, Jim Morrison doesn't believe that the 00.01% is possible, and that's fine.
I'm writing this from an agnostic perspective, as I am agnostic, but have a grasp on many different religious beliefs.