There are several ways to do this, depending on whether you want to join the points with straight or curved (say geodesic) lines.

For these two example locations:

loc1 = GeoPosition[{40, -90}];
loc2 = GeoPosition[{-30, 60}];

try the following inputs:

GeoGraphics[{Red, Thick, Line[{loc1, loc2}]}, GeoRange -> "World"]

GeoGraphics[{Red, Thick, Arrow[Line[{loc1, loc2}]]}, GeoRange -> "World"]

GeoGraphics[{Red, Thick, GeoPath[{loc1, loc2}]}, GeoRange -> "World"]

GeoGraphics[{Red, Thick, Arrow[GeoPath[{loc1, loc2}]]}, GeoRange -> "World"]

You can use Entity objects instead of GeoPosition objects as locations too.