"Under the sky"
It seems that you mean "밑"
"밑" is under.
"아래" is below.
most time these two words are interchangeable
however we can see a difference in this sentences
나무 밑에 앉다 "(To) sit under the tree"
나무 아래에 묻혀있다 " (To be) buried below the tree"
In this case we are below the sky "하늘 아래"
Just like in English "under" and "below" are similar,
nevertheless context is important, if someone is scratching your back it may not be appropriate to say 더 밑에 because 밑 has more of an underneath meaning.