Corporate pilot reported SoCal Approach issued holding instructions to a fix; SKATE; while arriving into SAN. The fix was not available in the aircraft's database.

Narrative

On descent into SAN; the controller told us to expect holding at SKATE. The other pilot and I found SKATE using Jeppesen charts on the ForeFlight app. A few minutes later; we were given 'Direct SKATE; hold west of 270 Radial; leg lengths your discretion; maintain 2000'.' The PF (Pilot Flying) used the FMS to program direct to SKATE and the aircraft turned the wrong direction at which point we used heading mode to direct the aircraft toward the waypoint with reference to the Jeppesen chart. Upon checking the FMS; the two SKATE-named waypoints were in the eastern hemisphere; needless to say not near SAN. We continued to enter holding in reference to Jeppesen charts; but they did not give the place bearing distance to alternatively define SKATE as a holding fix.We did approximately 3 turns in holding before being given vectors for the approach. After landing; I used airnav.com to find SKATE in the United States. It is a military waypoint defined off a TACAN (NZY); which our aircraft doesn't have. Our aircraft is one of the most common business jets out there and the navigation suite; Rockwell-Collins Proline 21; is also very common. This is a very confusing and possibly dangerous flaw that it does not contain a full list of waypoints. ATC needs to be aware that not all business jets can navigate to military waypoints. ATC had given us a heads up to find SKATE; which we did on electronic charts; but did not check the FMS database. That was a poor practice on our part.