'That is news to me' or 'this is news to me'?

Both are correct. We can use 'that' for things which are more remote, and this for things which are nearer, e.g. that (thing you just told me) is news to me; this (thing I just read in a newspaper) is news to me, however many native speakers use this and that interchangeably in this (or that) type of remark.