The sky is colored by nitrogen and oxygen, both of which are very slightly blue in color. Actually they are colorless. If what you were saying were true, the sunset would be blue. The blueness of the sky comes from the scattering of light by the air, which affects higher frequencies preferentially. The blue that you see is light that was initially going a different direction. The sunset is reddish because it is seen through more air than the noonday sun, and the blue frequencies are scattered away from your line of sight.
Actually they are colorless.Of course they are.
Their colors are determined by the degree of diffraction of incoming light.
That's what color is all about.
In the following graphic, picture the nitrogen and oxygen molecules as diffracting white light toward the blue end of the spectrum.
Everything has an index of refraction that fits somewhere in the spectrum.
That's what causes it's observed color.
Doesn't matter what color it's supposed to be...the only color that counts is the one you actually see.