Create a line sprite object. It can just be a 2x2 pixel square if you want, you're going to stretch it. Set the origin point of that sprite to the center of the left edge in the image editor.
To draw it between two other sprite objects, spriteA and spriteB, create/move lineSprite at/to spriteA.X, spriteA.Y.
Set the angle of lineSprite to angle(spriteA.X, spriteA.Y, spriteB.X, spriteB.Y).
Finally set the width of lineSprite to distance(spriteA.X, spriteA.Y, spriteB.X, spriteB.Y).