In the more recent versions of Lightroom Classic (what version number do you have?), when you apply a local adjustment such as brush, radial filter or graduated filter, there is a dropdown menu at the bottom of the filter dialog box that says "Range Mask". This allows you to apply the filter to specific colored areas (blue for sky) and not the rest of the areas that you applied the range to. There is also a luminence mask, allowing you to apply the filter to certain areas of lightness (or darkness) but not other areas. Plenty of video tutorials about this on YouTube.
I do not remember the version number of Lightroom Classic where this was implemented. If you have LrC 10.3, it is definitely in there.