Sky Chase from Sonic Adventure is a perfect example of a stage with a sky theme.

Stages with a sky theme typically have clouds, large drops, and sometimes the Tornado. These stages take place high in sky, sometimes on a flying fortress built by Dr. Eggman.

The first appearance of a sky-themed level was in Sky Base Zone from Sonic the Hedgehog (8-bit), the last zone of the game.

Stages with a sky theme