"And God said, "Let there be a vault between the waters to separate water from water." So God made the vault and separated the water under the vault from the water above it. And it was so. God called the vault "sky." And there was evening, and there was morning—the second day."
Therefore, according to the Bible, God called the sky "sky" (Hebrew: *raqia*, which literally means "firmament").
It's important to note that this is a figurative description of the sky. The ancient Hebrews believed the sky was a solid dome separating the waters above from the waters below.