I think the problem is that the Loft of course begins and ends with round Profiles, but without guidance will take the shortest round from point to point, so you end up with something like this, where the top and bottom are curved, but the edge down between them shortcuts straight between the points:

So instead, you've got to add in a Guide Rail on each side to control how that point-to-point edge gets made. Start a Sketch on your XZ Plane, Project>Intersection your top line and your bottom line, such that you get two purple points, and put a Line between those points to represent your slope. Stop that Sketch. Start another Sketch on the same Plane again, and Project>Project to Surface that slope line onto the inner face of the cylinder wall. Now you should have something like this:

Now you can use those two projected curves as Guide Rails in your Loft, like this:

But honestly, it would be easier just to Extrude a full cylinder shape and then slice it off.