Sky

is simply upper half of our visible world (above horizontal plane) and what appears to our eyes with +elevation angle. In that direction we can see infinite distances into the space. Sun, Moon, Planets (meaning wanderers) and stars appear through that space each at a different distance from earth. The distance are such that the light with it's fastest speed takes 500 seconds from sun, 4.2 years from the nearest star (another sun), 100s or even a million years from some of these objects in the sky. So the atmosphere scatters much of this brilliant light and the result is the blueness that we call "sky".