Sky is a being made of a black gooey substance. She had died a while ago, and spawned in a black gooey space called 'Fuchs Hell'. It's a part of hell that's nothing more but a big dark space. When someone ends up there, they will be forever haunted by their worst nightmare.

Sky did end up in Fuchs Hell, but she also became a *part* of it, a piece of it. She's a walking talking piece of Fuchs Hell. While she looks like a human, she actually isn't. She still has her own personality.