Convex Hull is named convex for a reason…
I googled for concave hull and found this:
https://www.codeproject.com/Articles/1201438/The-Concave-Hull-of-a-Set-of-Points
If you want to draw a curve around the outer points, you can use Metaball. The resulting curve will not go through the points however.
This forum has a few threads on this topic already: