SQL Server Line Constructor or version of ST_MakeLine(pt1,pt2)?
Try ShortestLineTo(): 

SELECT
  pt1.ToString(),
  pt2.ToString(),
  pt1.ShortestLineTo(pt2).ToString() AS line -- what goes here
FROM #tmp;


Returns

POINT (1 1)   POINT (2 2)   LINESTRING (1 1, 2 2)
POINT (2 2)   POINT (5 5)   LINESTRING (2 2, 5 5)
POINT (3 3)   POINT (4 4)   LINESTRING (3 3, 4 4)
POINT (4 4)   POINT (3 3)   LINESTRING (4 4, 3 3)
POINT (5 5)   POINT (4 4)   LINESTRING (5 5, 4 4)