Is the rectangular part thickness the sane as the OD of the cylinder?
Is the length of the cylinder the same as the width of the plate?
If yes, then make a different sketch that was the plate with a radius on the end and then add the hole as a secondary feature.
If the plate is longer or shorter than the cylinder, use the edge of the cylinder and match the plate end to the radius, extrude in the direction of the hole.
Extruding the plate to next surface will give you what you see since the outer cylinder boundary is the next surface.
You need to think through the possibilities of what will happen before you just start sketching.
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