I think you are using the wrong image for your sky. The square sky textures in the standard wad are for sky domes made in med. the textures used for skycubes are the long skinny ones. Try the skygorge texture and see what happens.
I try all texture of sky in standard.wad included sky_gorge but the result doesn`t change. The orange texture still appears.
Do you show me some tutorials about sky, give me an example in wmp ????