In Scenery Builder, scenery building:

This 3D object is a huge blue dome. 
Place it in the middle of the scenery. 
Approx. -5 meter down from sea level. 
If your scenery is bigger than this dome adjust its size in 
'3D Object Editor'( menu > object > scale frame)

In SailSim or MBSim, playing:
To see the blue sky, set the visibility more than 7,5 nm. 
(environment > settings > general(sailsim)-atmosphere(mbsim) > visibility)