What spaces are considered not 'in Arkham'
From the Arkham Horror FAQ:


  The Sky is considered part of Arkham (since it is on the Arkham board)


And


  A monster that is arriving in Arkham is moved to the Outskirts if its arrival would exceed the monster limit.


So the sky is considered part of Arkham. The outskirts are never considered part of arkham. 

(Also, it is impossible for Cthonians and Dholes to get to the sky)