In the celestial system, a Sky King is not the same concept as the "Sky King" of the Golden Court's Cave Realm. Only a Golden Immortal could be bestowed the title of Sky King. They are influential figures who stand on their own.
The first Sky King, named Yu Hao Heavenly King, held extreme power and was in charge of punishing the guilty.
His innate divine item is called "Divine Sky Nine Annihilation", which contains a destructive power of nine layers. Anyone who offends the celestial court will be punished by this divine item, being executed.
And the "Divine Sky Six Annihilation" saber technique was created by emulating the power of this divine item.
Naturally, the one who created this saber technique was from the celestial court.
These were all told by Yu Hao Heavenly King to Gu Yang.
In that case, the origin of the Blue Sky Palace could likely be linked to the celestial court, Gu Yang thought.