Welcome to the JMP Community.
Do you want to do this interactively or with JSL?
Interactively
You can use the Annotation Tools to draw lines, polygons, circles, etc.

You can also right click on the graph window and select Customize

and add lines, rectangles, etc.

Using JSL
The above last example is actually a method that bridges from Interactive usage to writing a script using JSL. If what you are looking for is a JSL solution, JMP provides a complete set of graphic primitives that can be used to draw whatever lines, objects, text etc. you need.
Graph Box
There is a display object called Graph Box who's purpose is to provide a blank display frame to draw whatever one desires.

Names Default To Here( 1 );
New Window( "Example",
Graph Box(
Frame Size( 300, 300 ),
Marker( Marker State( 3 ), [11 44 77], [75 25 50] );
Pen Color( "Blue" );
Line( [10 30 70], [88 22 44] );
)
);
Add Graphics Script
JMP also has the ability that through JSL, can add graphics to any of the graphical outputs from any of the JMP Platforms. Graph Builder being one of those JMP Platforms.

names default to here( 1 );
dt =
// Open Data Table: Big Class.jmp
// → Data Table( "Big Class" )
Open( "$SAMPLE_DATA/Big Class.jmp" );
gb = Graph Builder(
Variables( X( :weight ), Y( :height ) ),
Elements( Points( X, Y, Legend( 3 ) ) ),
SendToReport(
Dispatch( {}, "400", ScaleBox,
{Legend Model(
3,
Properties( 0, {Line Color( 2 )}, Item ID( "height", 1 ) )
)}
)
)
);
framebox = report(gb)[frame box( 1 )];
framebox << Add Graphics Script(
Transparency( 0.5 );
Fill Color( {1.0, 0.5, 0.0} );
Polygon( [60, 72, 57], [75, 120, 120] );
Pen size( 3 );
pen color ( 1 );
line( {80,60}, {140,65});
);
Jim