Well the possibly of a sky should be more than probable since in Zone, traveling to different worlds where vegetation occurs is a key sign that there is an atomsphere and the point in which you claim that Zone is unable to visit Classic despite being able to travel to other said planets can be explained that the "over world" is none other than just a futuristic statue of sorts (but of course we general know this is a playback to the classic and zone servers). As for classic there is vegetation, weather, and of course biological life forms therefore there would be an atomsphere and hence forth a sky. What may even be more scary is that instead of a sky, it would be the person's face that is shown on the sky (this would occur while we play classic) and that the sky is simply a window for us to control our avatars hence why we the player have never seen what the sky looks like in game other than the loading screen.
The two possibilities are, even we have no sky, or our sky is instead replaced with the face of whom is playing.
Both are equally terrifying.