I can't find the exact wording because I can't find that scene where she describes it and Inaho gives her an "Um, Actually...", but over the years, Slaine has told both Princesses that the sky is blue using the explanation usually given to children, that it is because of refracted light.

Inaho described the correct answer to Asseylum, Rayleigh scattering. Blue light gets scattered more, thus the sky appears blue.