In Indo-European religion, the most powerful god was *Dyews, literally "sky" (later became Zeus in Greek, Jupiter in Latin). I think it has to do with the fact that "a sky god" influences a lot more things than other gods: the sky gives rain (harvest etc.), its sun gives warmth, it gives light, and the sky is literally always right above you, as if watching. Abrahamic religions referring to god as someone in the skies could have been a remnant from previous polytheistic religions where the sky god was the most dominant god.