Look in your Layers panel. The original image is still there on the Background layer. To delete it, you would need to select it there, but you would leave a hole.
A better idea is to use the sky replacement controls to scale and move the new sky as you are creating it.
Watch this tutorial from Jesús Ramirez of the Photoshop Training Channel for details:
https://photoshoptrainingchannel.com/sky-replacements-in-photoshop/
Jane