I don't have AN ISSUE. - It is more specific. For example is someone asks you if you have an issue with person X, you would respond like this. Or if you are accused of having an issue with person X, you'd again, respond, like this. It is like specifying an unnamed problem.
I don't have ANY ISSUES with him. - General. "He is a good person, I don't have any issues (problems) with him". Not talking about a strict issue.