How to join anchor points from two different paths?

[M35474498q9wm]

Is there a way I can connect anchor point from two different paths, and thereby join the paths together like I can in Illustrator?

E.g. I'd like to join the two in the screengrab where they are crossing over.

I can't seem to do that just by selecting the pen tool and clicking the relevant anchor points.

[M35474498q9wm]

I've now got two paths inside the same layer... but cannot join the anchor points.

If I add a 'merge paths' it closes both paths whereas I'd like them kept open.