I guess by "leave" you mean an arc tangent to two entities located in two separate sketches (your screenshot is not very telling...). A connection of this type is only possible in a special case: the two entities to be connected must have their coplanar tangents, and therefore be concurrent, as is the case for the two construction lines in the image below (in red for sketch 1, in purple for sketch 2). The fillet is then constructed in the plane containing these two construction lines. Other curves are possible (ellipse, spline, etc.) to have more degrees of freedom.
In the general case, a 3D curve is required to connect any two entities with tangency constraints. With SolidWorks, a spline built in a 3D sketch, joining the two connection points is perfectly suitable. It then initially takes the form of a line segment. Then simply add tangency constraints between the spline control handles and the two entities of the initial sketches.
At this point, the 3D sketch still has two degrees of freedom, which are the lengths of the control handles (curvatures at the connection points). Final result below.