If they are both paths on the same path in the Path Panel OR a single Shape layer -- using the Pen Tool click one anchor point, then click the other.
If they are separate paths in the Paths Panel, copy one path, paste it on the other.. and then click one anchor then the other. Paths have to be the same "work path" in the Paths Panel to join them.
If they are paths on separate Shape Layers -- first highlight both layers in the Layers Panel and choose
Layer > Merge Shapes -- then click one anchor then the other. You can only join paths on the same shape layer.
Photoshop doesn't have a any "join" features for paths like Illustrator does.