the sky starts at your eye. “The sky” is just a 100km of air. Air is ever so slightly blue, but not very blue, and you only see it when bright light is shining through about 20km of air (like the sun in the daytime).
But the reason the sky is blue is the same reason distant objects appear blue. Air is ever so slightly blue. It doesnt really “start” anywhere in particular, it just kinda “Fades in” relative to where you are looking from
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