Variations I have tried end up with a shape that is oval.
I think the easiest would be to sketch the path you want the loft to follow from center to center. This can be a simple spline with the end handles pointing normal to the surfaces. Then use that sketch as the centerline of the loft.
It looks like you had a straight centerline drawn and selected, but then you added the Normal To Profile start/end constraints so that nullified your centerline (which was not normal to the profiles).
Worked great Jamil, thank you.
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