Sometimes you may need to alter the design to join together two nets that are currently separate.

Unless you are creating a PCB design 'on the fly', you should not really be trying to connect two nets here. Instead you should switch back to your Schematic, make the change there, then use Forward Design Changes to push the change forward to the PCB.

However, if you are creating a PCB design directly without a corresponding Schematic, you can use the Add Connection or Add Track commands to connect those items together.