You necessarily need 2 edges between the inner edge and the outer edge of a hole, otherwise a face will fill the hole:
As for your shading problem, for some reason there's a problem with your split normals (which create the shading), to fix it just right click > Shade Smooth to smooth again, after that go into the Object Data panel > Normals and activate the Auto Smooth option:
Also you have inverted normals, select all in Edit mode and press ShiftN