The sky on Earth is mostly blue during the day. The reasons for this are either very simple or very complicated, depending how far down the rabbit hole you want to go. In one sense, the colour of the sky is because the chemicals IN the sky are partly coloured, it's just a very weak effect (one in every few trillion trillion molecules responds to visible light by emitting colour). Another way of saying it is to talk about the fact that high energy light, such as blue, gets scattered about the sky more, so you're more likely to see blue light being thrown out away from the Sun, making the rest of the sky appear blue. In a sense, I'm really saying the same thing twice there. Any object's colour is a result of how much it's scattering visible light, so in a sense the colour of the sky is simply because the chemicals are blue (this is massively simplifying it, but honestly the complex explanation doesn't add much extra detail).
An even deeper answer is to admit that we don't really know 100% why the sky is blue. It's a result of the way light interacts with certain types of magnetic molecules and the complete mechanism isn't understood. There is also the fact that dust and vapour particles in the air will colour it. Venus, for example, has a mostly CO2 atmosphere (CO2 is completely colourless under any definition of the word) but there's a huge amount of particles floating in the air, giving it a colour. We don't yet have a full understanding of how different mixtures of gases and chemicals produce different colours.
What we do know, however, is that different chemical mixtures on different worlds respond differently to light. Some planets and moons we don't know about because we've not been there and taken a photograph (we've only done that on Venus, Mars and Titan so we know those with confidence) so most of the assumed sky colours are guesswork. Here, mostly for fun, is a rough guide to the colour of the sky in different parts of our solar system based on the chemicals in their atmosphere.
Mercury Hydrogen/Helium Colourless
Venus Carbon Dioxide/Nitrogen/Sulfur Dioxide Orange
Earth Nitrogen/Oxygen/Carbon Dioxide/Argon/Ozone Blue
Mars Carbon Dioxide/Dust Orange/red
Jupiter Hydrogen/Helium/Methane Blue
Saturn Hydrogen/Helium/Methane Blue high up, yellow low down
Titan Nitrogen/Methane Yellow
Uranus Hydrogen/Helium/Ammonia/Methane Turqoise
Neptune Hydrogen/Helium/Ammonia/Methane Blue