I think it's fine because Skies is your surname. I think we have our surnames chosen for us, pretty much, and so, within reason, we shouldn't have to choose first names which fit them too much; instead, we should just go - within reason - with what we like for first names. I mean, it's not like purple coloured skies are a bad thing. They're pretty, they're good. I don't think Violet Skies sounds comical or ugly, just a bit - what's the word - statementy, attention-grabbing, something like that.
If it wasn't your surname, it could be okay, but in that case it would just sound a little - obvious, blatant, statementy, attention-grabbing. Something more subtle would sound more elegant and pretty in that case. But that's just my taste.