OK, so my brother was playing Course 3, Jolly Roger Bay (mostly to listen to the music. I was still on Course 2, Whomp's Fortress and hadn't gotten any stars in JRB, so the sky was still dark and foggy. Then he changed the camera angle and you could see behind the sky like you sometimes can see behind the walls in Bob-Omb Battlefield! Turns out the dark sky isn't a background, it's a wall covering one.