There isn't actually a myth or legend about Zeus specifically turning the sky blue. The color of the sky is a scientific phenomenon, not a result of divine intervention.

Here's why the sky appears blue:

* Rayleigh Scattering: Sunlight is made up of all the colors of the rainbow. When sunlight enters Earth's atmosphere, the tiny molecules of air scatter the light. Blue light is scattered more effectively than other colors because it has a shorter wavelength. This scattered blue light is what we see as the blue sky.

So, while Zeus is often associated with the sky and thunder in Greek mythology, there's no story about him changing the sky's color.