Make sure the cone and the cylinder are in the same context. That is, if the cone geometry is in a component or group, put the cylinder in the same component or group and then use Intersect Faces. erase the unneeded parts of the cylinder and delete the faces skinning the hole. You’ll wind up leaving part of the cylinder inside the cone.
Or, since you are using SketchUp Pro, make a cylinder group and use Subtract from the Solid Tools to cut the hole through the cone.
