In this post there are two images captured about 7 minutes apart. In that time the available light outside did not noticeably change. The difference in the look of the two pictures is the first utilized only ambient light while the second added off-camera flash.
Notice, in the ambient exposure that the subjects and the background are exposed similarly. Since the same daylight is exposing both elements, the relative exposure of both subject and background is near equal with both elements bright and visible. When the flash is used the subjects are exposed to greater light intensity than the background, which results in underexposure of the background relative to the subjects.
One thing to notice is how the sky looks relatively gray and colorless in the ambient exposure but more richly colored when underexposed in the flash photo. This is an example of a dramatically different look one can achieve with off-camera flash versus only using available light. There is no “right” answer, just different techniques to achieve different results.
Next time you want to get more interesting colors out of the sky, try intentionally underexposing the sky to bring them out.