Here is one option that I like. It's better if you already have an IEnumerable<string> with your data, but it's easy enough even if you don't. It also clearly scales well to n strings being joined, not just 1 or two.
string[] myStrings = new string[]{"Hello", "World", null};
string result = string.Join(" ", myStrings.Where(str => !string.IsNullOrEmpty(str)));
Here is another option. It's a bit shorter for this one case, but it's uglier, harder to read, and not as extensible, so I would probably avoid it personally:
//note space added before {0}
Assert.Fail("Something is foo. {0}", message ?? "\b");
In this case we add the space to the format string itself, but if message is null we instead use the backspace character to remove the space that we know is before it in the message.