Yeah, this is confusing. I can explain (even though I don't like to, because it's not really a good answer): you need two sketches.
I'll explain how to make it work first, then I'll try to explain why.
To make it work, exit out of your current sketch, and create a new one. Just pick any random plane (probably best to go for one of the origin planes, as a stable reference). Then, you should be able to use Project to Surface, picking the geometry from your other sketch.
As to why. Again, I don't feel good about this, and I think we need to fix this, but... The "project" family of commands all project things from outside of the sketch. So, projecting edges, or intersections with a body, all require an "external" reference. You can project from one sketch to another. When we built Project to Surface, we reused this mechanism, so the reference has to come from outside of the sketch.
OK, this has got me motivated. This has confused enough people (I've hit it myself, and it always takes me a few minutes to remember). I'm going to go right now and discuss this with the team. I wish I could promise we'll fix it immediately, but I can at least promise we'll work on it.
Thanks for your patience.
Jeff Strater (Fusion development)
Jeff Strater
Engineering Director