I don't think you can say anything at all about a gift already given. They're entitled to give you anything they like, conversely you have the right to not be happy about it

But for next year you could try a note along the lines of "I appreciate donations given to charity, and if anyone would like to give me this as a Christmas gift please consider x, y and z, that are close to my heart" or add some other less flowery explanation.

That way when they ignore it they're being plain obstinate...