In Western cultures at least, little kids first learn to draw with a blue or (black for night-time) sky, and a yellow orb for the sun. In reality, sky can be many different colours.
And the sun is actually white, but that’s a different blog post.
Why is the night sky turning red? from Discover Magazine
Why Is The Sky Blue? from The Explainer
Clouds that look like a surrealist painting from Lost at E Minor
Why does the sky look green before a tornado? from Mental Floss
Changing the colour of the sky is a great way to significantly alter the mood of an illustration. A blue sky is cheerful, a stormy sky foreboding, an orange sky indicates evening, or early morning, and a purple sky might convey a fantastical or magic world.
What if you change the colour of the sky after the rest of the artwork has been done? I read a hint lately in a digital art manual which suggested filling a top layer with the colour of your sky, then setting it to multiply blend mode. This will tint the landscape/cityscape or whatever to the appropriate hue, since the colour of the landscape is influenced by the colour of the sky above. I haven’t had a chance to put this to use, but I did try it out anyway on an illustration I’d already done, and I do believe it would be a good way to get the sky matching the landscape, if you end up with a hue which draws attention to itself, or in which the sky looks somehow separate from the land.
Header painting: John Muirhead – The Calm before a Storm 1881