I don't think even turning Tidy off will help in this particular case; you can try is adding the closing </span> when you do the search/replace, with search Mode set to Regex:
Find: <p class="xyz">(.+?)</p>
Replace: <p><span class="xyz">\1</span></p>
FWIW, turning the well-formed check off, means that Sigil will still perform the well-formed checking and apply whatever fixes without notifying you. So basically that option turns off the notification but not the check itself.