You are likely saving a png file which sees a black alpha and decides that the RGB is all transparent and shows nothing.
The actual sky is in there, if you use a viewer that doesn’t automatically use the alpha you will see it.
A few options.
1)Whatever software you use to make your movie has to be able to ignore the alpha.
2)Render with another format like targa that doesn’t automatically use the alpha.
3)Set the framebuffer to “RGB byte 3x8 bit” which will render a png with no alpha.
framebuffer is in rendersettings->quality-framebuffer->datatype.