From what I can tell, SQL Data Generator selects values from the primary key column of the source table to use as data in the column in the other side of the foreign key relationship. This seems to be independent of the PK value generation, otherwise you could not remove the source table containing the PK column from the project.
There is a good description of how the FK generator works here: http://www.red-gate.com/supportcenter/c ... generators
In situations where you don't have an FK constraint in the database or where the FK is a simple 1:1 relationship, you can switch to the foreign key (manual) generator. Otherwise you have no choice but to use the automatic FK generator.