In game, you can use zsky # to set the sky from 0-5 (I believe). See the WIKI for zsky params and what they do. Once you do that, you can use #zsave [zone short name] to save any changes you make to the zone headers. Then your zone should have the new sky when you pop back in.
(i have had some inconsistent results with this, but for the most part, it works ok).
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