Set the 3D cursor at the center between the two circles. You can do this by selecting "Snap" from the header menu, choosing "Cursor to Selected," and then selecting "Median" as the pivot point.
Duplicate one of the circles by pressing Shift+D. Move it away from the original circles.
With the duplicated circle selected, rotate it 90 degrees on the Y-axis. You can do this by pressing R
geometry dash lite, then Y, and typing "90" or dragging the mouse until it reaches the desired angle.
Snap the duplicated circle back to the 3D cursor. Select "Snap" from the header menu, choose "Selection to Cursor," and ensure that "Active" is selected as the pivot point.
Bridge the edges in the center by selecting both circles and pressing Ctrl+E, then choosing "Bridge Edge Loops" from the menu.