How do I fill in the gap between the 2 lines?

While creating arrays within a sketch has it's place, I find them cumbersome to deal with. I would start over. Create a single column. Get the sketches aligned with your X and Y axis and get them FULLY constrained. Yours are not fully constrained and that will always cause problems down the road. Once you get a single column created, then create an array of those columns.

On to your specific question:
You can't extrude a 3D sketch. About the only thing you can do is use it as a path. You can do that but you need to keep it simple. By attempting to create the 3D sketch that goes all the way around, you've created quite a mess. Like the column, build one single arch. Then create an array of 30 arches when you get it the way you want. I created an arch using a simple loft between the front and back of the column. Then extended it to the extents that I needed and then trimmed the outer circumference at an angle. It gave a visually pleasing result using simple 2D sketches.

It is common to try and model a shape like the arch in terms of its extreme edges and surfaces from the start. I find it much easier to break it down into simpler shapes. In this case I did not initially concern myself with the outside edges of the arch or where it intersected with the wall of the tower. I only wanted to construct the tapered arched shape. My only concern was aligning it with the edges of two adjacent columns. So I constructed two 2D sketches with simple arcs connecting geometry projected from the columns. A short loft connected these two sketches. This initial arch was only the same width as the columns so I used the direct edit command to stretch it enough to reach the wall and an extra amount out the front to be trimmed later at an angle. The trimming was done with a simple circular extrusion centered on the tower. The whole operation on the arch, including the array, was done as a separate solid. Once I was satisfied with the results, I combined it with the rest of the tower.