My understanding is that the Sky World (like the Underworld) is part of the Everything World but is not part of the Middle or Mundane world. The Sky World is mixed but, because of the victories of the Gods over their enemies (Chaos, Spirits etc), it is mostly Theistic. Each age of the Hero Planes has a Sky World and an Underworld (except the Great Darkness). Guessing a little here, Gathering Thunder takes place in the Sky World of Golden Age Hero Plane.
During the Great Darkness, the Cosmos was wrecked and the differences between the Underworld, the Middle World, the Gods World etc. were erased. Some parts of the Sky World did manage to resist Chaos and remain distinct.
There is one further (mind bending) complication. The Greater Darkness is part of the Underworld. But the Underworld is not part of the Greater Darkness.
regards,
Charles
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