First create line which will be reference to pick during define tangency. If this is difficult to predict that line you can use your points and create 3D curve first with no tangency at ends and create second curve base on the same points, but lets start on opposite side (180 deg.) the first curve should be good reference for define tangency at the ends of the second curve.
What version of Pro/E (or Creo) are you using? In Creo Elements Pro/5.0 (Wildfire 5.0), if you make a curve through points, the start/end should be defaulting to TANGENT. If not, select the Tangency option from the menu and make sure at both the Start and End you have Tangent checked. This should close your curve with perfect tangency.
If you're in Wildfire 4 or earlier I'll have to go back and see what the options are in those packages. In WF5, this should be easy.
Let me know if this works or if we need to dig deeper. You can also set tangency to surfaces and other objects incase you need this feature.