"I don't mean to change the subject, but..." but you are changing the subject.
"I don't mean to interrupt, but..." but you are interrupting.
Is there a name for these type of "polite" phrases?
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It is a fairly well known figure of speech:
or paralipsis, meaning to mention something by saying you're not going to mention it.
This could be seen as a technique of politeness, in which the person hedges around his real intention:
Techniques to show politeness
Expressing uncertainty and ambiguity through hedging and indirectness.
It could also be argued as "Polite lying", but I don't really think this is a case of polite lying, although it is a lie, and it is polite.
Or we could just be general, and call it "Negative Politeness", in which the person is being polite via making a request less infringing.