Since Ulysses stores your pages in a database, you’ll need to export them as markdown files and put them in the folder you’re using as your Obsidian vault.

You can add an external folder in Ulysses, then copy all your sheets from the “regular” (iCloud) collection to this external folder. It’s not perfect, but it works. If I remember correctly, as you create the folder you can select you want to use the .md extension for pages there.