I defeated Dagoth Ur. Smashed the heart. Lorkhan collapsed. Azura's cutscene. Outside, the sky clears. When I get to Ghost Gate, ash storm returns. Is there a command that deactivates the storm or activate the clear skies?

The ash storms will continue as usual, but they no longer carry the blight.

Yeah, I agree with Jac, the ash storms will continue - after all Red Mountain is a volcano - but there will be no blight. It is normal after walking out of the citadel to see clear skies and then walk into an ash storm.