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If the magnets were placed just so, this is possible; but it's relatively hard to place the magnets 'just so', and you can't move the shapes once you've got your lines in place.

Here's the suggestion we came up with:
Select Arrange > Guides > New Vertical Guides
Drag the pink line horizontally so it overlaps both shapes in the spot you'd like the line to occupy.
Double-click the magnet tool.
Drop a magnet just inside the border of each shape at the point where the vertical guide crosses the shape.
Switch to the line tool; hover over the magnet you just added. (You're in the right spot when it, rather than the shape, gets the pulsing selection highlight).
Click and drag to the magnet you added to the other shape - release when the magnet starts pulsing.
You can now move/remove the vertical guide.

So, possible, but not the easiest thing to do. There's an existing feature request that would cover making this better; if you send email to the support ninjas, we can attach you to that request, so the team knows it's something you'd like to see improved, as well.