I want to make a custom sky, moon, sun, fog, etc. How would I do this?

For fog you would probably start with making a listener to the EntityViewRenderEvent like this

public class ClientListener {
  @SubscribeEvent
  public void onRenderFog(EntityViewRenderEvent.FogDensity event) {
    // your code
  }
}

Note that you can also access other stuff, such as FogColors, from the EntityViewRenderEvent.

EntityViewRenderEvent does not seem to exist in 1.20.1