The word "sky" has several meanings. On the one hand, it means the air, the atmosphere or the universe with the sun, the moon and the stars that we see above us. So the sky is "up there" as seen from us.
In religions, "heaven" means the place where God lives. Many people believe that they go to heaven after death. Depending on the type of faith, this requires good deeds, the help of Jesus or other things.
The roof inside a car is also called "heaven". There is also the four-poster bed. It has a post at each corner and a roof above it. It was originally used to prevent dust from falling from the upper floor onto the sleeping people. Many pulpits in the church have a small roof, which is also called a "sky". It is supposed to transmit the sound to the people who are listening. There are many more such types of "heavens".
The counterpart to heaven is hell. It only exists in some religions. Hell is imagined to be down below, deep in the earth. The devil is said to live there. People who have lived badly or do not believe in God are supposed to go to hell.