Hi geekmidget, select the inner cone piece and then run the merge command on it (press tab key to put focus in XYZ bottom input that works like a mini command line, then type merge and then <enter>).

Then there will be just one edge on each object, select those and then you can do Blend.

When there are more than 2 edges and they are all touching each other end to end Blend will have some difficulty in automatically sorting them.

- Michael