You would need to use the word "the" before sky in conversation. "Sky is grey" would be incorrect. For poetry I still couldn't see how you would use it. You could say (for poetry) "Skies are grey, on rainy days" For an example, however "Sky is grey" is just incorrect. Sorry if my answer is bad, this is a tough questions for me xD

"The sky is grey." is correct. "Sky is grey," is never correct. You do not need to put "the" in front of proper, specific nouns, like Angelica, Germany, Arabic, McDonalds." But if you use a "common," non-specific noun, you need "the." For example: The girl, the country, the language, the food. Even though there is only one sky, it is still considered a common noun in English, not a proper noun.

In conversation, you always need to put "The" before a noun such as "sky." However, I will point out that poetic license (an English phrase describing the flexibility we give to authors, writers, poets, lyricists, etc when they create their works) would absolutely allow you to use simply "sky is grey" in certain situations, such as a haiku, in a song, or something like that, but you will very very rarely hear it.