I've just had to explain to my DD that she's not getting the doll that was on her list. She's been asking for a while and I didn't want her to be disappointed on the day. Here's how it went:
She had a bit of a weep. I sat with her and we talked about how it was hard when you wanted something. She also had a cry about other things that had been on her mind, but that she hadn't talked about. I listened to what she had to say and how she was feeling. Made it clear I was there to listen and cared about how she feels.
Once she'd got a bit of a weep and a rage and a moan out of her system, I asked her what else she was looking forward to wrt Xmas. Here's her list:
Family
Snuggles
Hugs
Time off school
Food
Films
Chilling out.
I said at the end that presents weren't the most important thing. Her response, word for word, was that presents are the least important thing.
She knows she's not getting the doll and she's totally fine now.
I honestly promise you, OP, it's not really the presents that they want.
Other ideas: make vouchers for outings, snuggles, breakfast in bed, a trip out stargazing, camping in the sitting room, a kitchen dance party.