there is no loft for poly surfaces. however, its' really easy with poly and it's own tools.
after attaching the two spheres, reverse the normal direction of the inside sphere. then select the border edge of any one sphere (i've selected inner's) and extrude it to another's direction. now select all the vertices (i've selected the edges and converted the selection to vertices- i feel really comfy with this process). now merge the vertices. now u'll have to add loops around the edges that has to be sharp - i've inserted inside the newly created polys only, just to show u. i'm attaching the visual process too, just to make it more clearer.