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.  It's also possible to combine nets by using the [Net], [Change Net] function on the right click menu but this should be done with caution as it will create a split net.  Running a connectivity check on any completed design will warn of any splits in nets and should be considered an essential final check.