For a more general purpose skybox mod that supports other dimensions, check out Simple Skybox.
(This is a fork of SpaceCandy.)
Adds a skybox to the Nether. Included is a default skybox, with dark clouds and a hellish aesthetic. You should be able to override the textures using a normal resource pack if you want to customize it further.
This mod is completely client-side; it does not need to be installed on servers.
Feel free to submit your own skybox if you want it included in this mod. If I like it, it may become the new default.
