Hi Michael to use Blend you would need to extrude out the circles, hide the circle curves (so they don't get in the way of selecting edges), and then delete the end caps of the extrusions (or extrude them with "Cap ends" option unchecked) so that you have 2 extrusions with open unjoined edges at their ends. Then you select the edges and run Construct > Blend to build a blend surface between them.

The setup with 2 edges selected (again, note it's _edges_ that must be selected, not the original curves, hide the original curves so you don't select them instead and the edges should not be joined in between 2 surfaces so that's why you delete the end caps) looks like this:



Then when you run Construct > Blend the connecting blend surface will look like this:



- Michael