Morrowind: http://fc01.deviantart.net/fs70/i/2009/360/f/f/The_morrowind_moons_2_by_Lord_Radian.jpg
Oblivion: http://www.gamesas.com/newsletter/images/devdiary_march_screen11B.jpg
So Oblivion's sky was more "realistic" :whistling: while Morrowind's was more wacky sci-fi/colorful.
...I'd guess when they made the MW one, they were designing crazy fantasy mushroom-world
and gave it a sky that matched. And when they went to do OB (which was more of a "standard" European-style fantasy setting) they thought that the crazy Star-Trek-like sky wouldn't fit the art direction for Cyrodiil.
So..... dunno. Skyrim might continue the "match the sky to the setting" thing, and end up being a normal night sky. But with possible auroras, because that fits the art direction of the Norse/Frozen North thing.
(Personally, looking at those screenshots, I think the Oblivion sky looks quite good. But, yes, it doesn't have colorful nebula all over it. It's less of a NASA wallpaper, and more of a "real world sky" style. Doesn't mean it's not good, just means that it's different.)