If the map is meant to be outside, make sure the outermost sector had a ceiling texture of F_SKY1. That will tell the renderer "hey, I want to see sky above this sector's ceiling height", and sky you will get.
Also make sure that the floor and the ceiling heights are the same. Not strictly required to get the sky effect (for instance, E1M1 of Doom uses it in the big outdoors area in the center of the map by having the ceiling lower than the ceiling of the surrounding sector, but you can walk underneath that sector just fine), but, well, you probably want a thok barrier, and that's made by having a 0-height sector.