What you do is, make a subtracted space way out in nowhere, outside of your main subtracted space -- it can be small, like 256.

Find or create sky textures and put it on all 4 sides

You don’t need to light it in the simplest method, although some skyboxes use lights ...

Right one of the faces and add a skyzone actor ...

Select each face of the little box to unlit.

Unlit means the texture gets full brightness without any lighting required.

Set the faces where you want to see the sky on the big subtraction box around your scene to: fake backdrop

Right click on the perspective viewport show backdrop to show the sky:

It will look like this from way back ... you can see the skybox on the left there, but you would never really be in that position in the game ...

Review

The skybox is small -- add skyzoneinfo, set all faces set to  unlit

The main part of the scene, all the faces you want to see through [probably all of them with the floating city] set to backdrop.

Turn on backdrop in the perspective view.

The idea is, setting backdrop to the scene faces makes them look through to a sort of a projected view of the skybox, so wherever you are, you can’t see the end of the sky, it is always there.

This shows a sample scene in the editor

The skybox will appear in the game like this ...  the wall of the right and the ground are not set to backdrop, so you don’t see through them to the sky. all the other walls to the subtracted cube are set to backdrop, so you see the sky those places.

One more thing you can do ... you can add fog into the skybox if the edges are too hard to get right ...

Set bDistanceFog to TRUE

[Antalus has a moon texture on a plane in the skybox ... note there are also lights being used, not all skybox objects have to set to unlit]

The same sky without the fog [bDistanceFor set to False]