The sky is really a blanket of gas around the planet that we call the atmosphere.
When planet earth formed, the atmosphere was very then and just made of hydrogen and helium. Then volcanoes started to form and pumped out other gases like carbon dioxide and water vapour (… or steam). Eventually when the water vapour turned into oceans, plants were able to grow and turn the carbon dioxide into oxygen. When that happened animals were able to evolve and breathe the oxygen. That’s how the sky, as it is today, came to be.
If we want to carry on living on planet earth, we need to keep the balance of gases in the sky just right. We’ve been putting too much carbon dioxide there recently and we’re trying to work out ways of not doing that so much.
Hi, I also assumed that you meant the atmosphere but see that Jack has answered the question very well. Taking it a little further, while the Earth’s gravitation can hold on to gases such as oxygen, nitrogen and carbon dioxide that “outgassed” from the Earth’s crust, hydrogen, and to some extent helium, are ligther and can escape the atmosphere and so there is very little helium and no hydrogen in our atmosphere. In fact, helium is so called because it was first discovered in the Sun (Helios was the Greek’s Sun god).