The ellipse tool in Pro/E is set up to produce an ellipse with the major axis horizontal or vertical.

If I understand the question correctly and you would like the major axis to be at some other angle, you will probably get there sooner by turning the part. That is, create a datum plane at the angle you want your ellipse. As you enter the sketcher, choose your sketching plane, then where it says 'Reference' (this is for WF2) choose your angled plane to be the top or side, as appropriate. You can still choose your primary datum planes as sketcher references, just not as the orientation reference. --DG