grammaticality - Use of "what" vs "that"


The following sentence was on one of the tests:



What would you like to do that others have told you is impossible.



Students have asked why that could not be replaced with what. I.e.,



What would you like to do what others have told you is impossible.



We have been trying to debate, we know it doesn't sound right but they expect a more detailed explanation, will really appreciate if anyone has an answer for this.




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