This is closer to what you want. The package latticeExtra allows overlaying two plots.
library(lattice)
library(latticeExtra)
DF <- data.frame(X = seq.Date(from = as.Date("2020-01-01"), as.Date("2020-12-31"), by = 1),
Y = 5 * sin(6.28/366 *(1:366)) + 25 + runif(366, -20, 20))
Plot1 <- xyplot( Y ~ X, data = DF,, ylim = c(0,60), xlab = "", ylab = "",
main = expression(paste("Daily Average Concentration PM"[2.5],
" per Monitoring Station")),
panel = function(x,y,...){
panel.xyplot(x,y, type = "l", col = "orange")
panel.loess(x, y, span = 0.4, degree = 2, col = "red")
})
DF2 <- data.frame(X = seq.Date(from = as.Date("2020-01-01"), as.Date("2020-12-31"), by = 1),
Y = c(rep(50, 180), rep(37, 186)))
Plot2 <- xyplot(Y ~ X, data = DF2, ylim = c(0,60), type = "l", lty = 2)
Plot1 + as.layer(Plot2)

Created on 2020-02-06 by the reprex package (v0.3.0)