Sky is incredibly subjective. Normally the camera does not get it “right” and you shouldn’t expect to easily do so yourself. That’s the bad news.
The good news is, there is no “right” or “wrong”. Just try to restrain from wild contrasts, global or local, and be very careful with saturation. If you think it looks right, try it once again with the blue a little lighter and a little more pale. Even if you overdo it (actually underdo in that case), less damage is done than the other way 🙂