The Sky

General Information
The sky is the view of the above. Most often, it's conceptualized as the region of the atmosphere that can form clouds (excluding fog clouds), but since the sun and moon are considered part of the sky despite being significantly beyond the region, and tall buildings are also often considered part of the sky despite being significantly below the region, it's more accurate to say the sky is the view of this region of atmosphere, including things which poke up into it, like buildings, and things which poke through beyond it, like the moon and sun.

In short, the sky is the view of above, and it includes empty space, clouds, the sun, the moon, the stars, and beyond as well as visitors like birds, bats, balloons, airplanes. In fantasy settings, islands or cities that float through the sky are also possible.

The horizon is the optical illusion of a boundary where the view above meets the ground, and it is the furthest a person can see from their current height (they can see farther by going higher). As the sun crosses this boundary of the course of the day, the day begins at dawn and ends at dusk.

Color
During the day, the sky is most often a light-to-deep blue with a yellow sun, and greyscale clouds ranging from light to dark, getting darker as they're made denser with rain. At night, the sky is still blue, but it's much darker bordering black, and on a typical cloudless night the moon is a silvery white and the stars are dots of white breaking up the black.

At sunrise and sunset, math causes the sky to adopt a more reddish hue along the side of the horizon the sun is nearest: this causes other colors like orange, pink, and purple to also appear, with clouds becoming pinkish.

Other atmospheric conditions can cause the sky to appear green (these conditions are also prime tornado weather), or cause the sun or moon to appear red or orange.

Being In and Above the Sky
Within the definition being used so far, the idea of being in or above the sky is difficult to grasp as the sky was defined is the view of the above, and being in above or above above is a novel construction. But, going back to that initial idea of the sky being where clouds can form, the idea of being in a cloud or being above the possibility of clouds is a totally easy to parse image. The catch is, the sun and moon aren't in the same type of sky as someone who is in the sky: that'd be crossing definitions, which gets very messy.

Additionally, consider the skies of other places like the moon, which has its sky looking over Earth and the rest is the sun or blackness. It should be noted that on a world with a sky that behaves differently would associate to different concepts (the easiest  straight forword example to say being a sun rising in the west and setting in the east would likely result in the impressions of East and West switching; but imagine what a sky that was typically green instead of blue would cause to the impressions, etc.)

General Impressions
The first thing the sky associates to is all the individual objects that are considered part of it: the sun, the moon, the stars, clouds, and birds. It also easily associates to things which occur in it, like the majority of  and flight. Association to the Greecian element air is also common since it's made up of air, as is its association to the Greecian element aether since the sky was the domain of aether when Greecian elements were considered a valid scientific model.

The impression of birds, air, and wind (the weather pattern) add movement and freedom to the general impressions of the sky.

Because the sky changes so radically during the four major times of day (daytime, dusk, night, and dawn), these also become strongly associated with the sky.

The sky is often considered an, and as such it associates with other environments like the ocean as contrasting objects.

If the sky is somehow atypical, such as being the morning sky at dawn, or a rainy sky because of weather, the impressions the sky has added on it because that alteration are typically determined by that alteration, either directly or antithetically; so for more information on e.g. a rainy sky check out the page on rain.

Grekoroman
In Classic Grekoroman mythology both deities of the sky: Uranus and Zeus (Caelus and Jupiter) were masculine personifiacations of the space above, and since both were successful progenitors the former longitudinally and the latter latitudinally, the sky also associated with the masculine form of fertility. You wouldn't pray to Zeus for help getting your wife pregnant (since he might come and get your wife pregnant), but you wouldn't want to earn his ire either (since he might come and get your wife pregnant).

It should also be noted that in both the above cases, the god of the sky was the leader of their generation of deities; this caused the sky to associate to royalty and leadership.

The sky also loved the Earth, and the titan Atlas was forced to hold up the sky to keep it from meeting the Earth and crushing everything. This caused the sky to associate to weigh and burden.