Connecting SolidWorks parts together with material in an assembly

If I understand correctly, you have 2 parts (A & B) in an assembly that are mated but with an air gap between them, and you want to create a new part to fill that gap?

I would create a new part (C) from within the assembly. Create a sketch on the face of part A with "convert entities". Do another sketch on the face of part B with convert entities. Add any path-related sketches you need. Create Part C using loft between those sketches (or whatever is suitable).

Now, when the mates between A & B are changed, C will update. You may need to do a forced rebuild (CTRL-Q).

As Bill said, you can only remove material with Assembly features.  Adding material has to be done in a Part, although you can have a virtual Part, which only exists in the Assembly (doesn't exist as a stand-alone Part file).