I have used the HFSS, though not much. Still I am learning about it. According to my experience you can not draw the triangle it self. But if you want to make some conical shape that is possible. As in the case of horn antenna just it is matter of conecting the surfaces.
just go >draw>line and draw a triangle formed
by three lines but make sure you close the
surface. If the surface is not cover go to
>3Dmodeler>surface>cover faces....
Use Draw line to form trangle or any other geometry in 2D. Then Select the object, copy it and paste to get a duplicate. Now use move to position for the desired thickness. Then select the two oblects (Control + click), from the menu select 3D Modeller > Surface > connect to get the 3D model.