This is a good question, as the answer is not straightforward - it depends on the context. In most cases, you would use the definite article, but in some cases it can be omitted, and with certain constructions, the indefinite article is preferred - particularly when there is an implied comparison between different appearances of the sky.
The sky is an infinite movie to me. I never get tired of looking at what's happening up there. - K. D. Lang
There is the sky, which is all men's together. - Euripides
Earth and sky, woods and fields, lakes and rivers, the mountain and the sea, are excellent schoolmasters, and teach some of us more than we can ever learn from books. - John Lubbock
We are a nation of communities... a brilliant diversity spread like stars, like a thousand points of light in a broad and peaceful sky. - George H. W. Bush
So, for your specific example, you could either say:
(In this picture,) the sky is dark.
(This is a picture of) a dark sky.
Incidentally, you can say "a golden sun" or "a blood-red sun" in much the same way when talking about "the sun".