Yes, the verb "sell" in the relative clause does have a direct object. :)
Let me work off the previous poster's answer. I'll insert an anaphoric gap into the example to show the two versions that were discussed earlier:
Version #1 is the somewhat traditional approach, where the relative pronoun "that" is directly linked to the antecedent "car". And then that "that" is linked to the gap "_(i)".
In version #2, the gap "_(i)" is directly linked to the antecedent "car". And the word "that" has no semantic meaning : it is used merely as a syntactic marker to help identify the beginning of this relative clause.
Your relative clause has the meaning of "Peter wants to sell the car", but the clause is missing the expression "the car" (which has the syntactic function of direct object within the "sell" subordinate clause). That is what makes a relative clause a relative clause. That is: the relative clause is explicitly missing something (or else has a relativized word to represent that missing something), something that is there in the semantic meaning of that clause but it is physically missing. If that physically missing expression were there, then it wouldn't be a relative clause.
Summary: In your example, the slot of direct object (of your "sell" verb) in your relative clause happens to be an anaphoric gap. Traditional grammar considers that the (direct object) gap is linked to a pronoun "that" which is then linked to the antecedent "car" (or that the pronoun "that" is the direct object which happened to be fronted). Some modern grammars do away with that intermediate link, and they merely link the (direct object) gap directly to the antecedent.