I can see it. I don't think I'd use it, but I can definitely picture a
Sky Alexander. I'd avoid middle names like
Theodore and
Abraham though;
Sky is too androgynous for the "manlier" feel of those names. I'd also go for names that remind you of light colors.
Sky makes me think of blond hair and the sky blue color, so I'd avoid any middle names that seem musky or earthy.
Other ideas:
Sky Alexi
Sky Alexian
Sky Callan
Sky ConallSky CadeyrnSky TristanSky TaliesinSky AndersSky PeterSky Julius