Question: Eg.

> 
> Saline water does not contain salt.
> 
> 
> 

So it is a **\_\_** statement. What is the word that should fill in the blank?

This statement is clearly making itself wrong in its later part. What should it be called?

Answer: 
*Incongruous*, *inconsistent*, or *paradoxical* is sufficient.
Responding to a couple points here...

*Oxymoron(ic)* can only be used in reference to a phrase - I think only a noun phrase - but not to a *statement*. And officially, I think, it should be used when the apparent contradiction is resolved when you understand what the phrase is referring to. (Like, the first time you hear "living dead" you're like, "WTF? Ohhhhhh... it's zombies!" And then it makes sense.") If it's really not resolvable, but is just an error, like "free-market communist", then it would be a *contradiction in terms.* (Though in common usage, I think you can use *oxymoron* for both.)

For a complete statement, you could use simply use *self-contradictory*, *self-negating*... I actually stumbled here looking for the same thing. I'm sure there's a cool latin phrase somewhere...