Hello Jean Pierre,
To use the radio sonde option (skewt diagram) you need to download the required data in your GFS request.
In the Altitude tab select the 'skewt' option only (no others needed). This will ensure that XyGrib has all the data needed to create the chart
Please take care not to request download for a large area as the request is quite heavy and it takes longer time to prepare on the server.
Please let us know if this helped.
David