Which the subtitles translated as "Where is the Black Sky?"
What I'm wondering is why is what does なんだ mean, and why did they use that instead of saying ブラクスカイはどこ？
Please correct me if any of my Japanese is incorrect.
It's a problem of nuance and tone. Yours is a friendly and honest question. His is an interrogation or angry frustrated monologue or something.
ねえ、ブラクスカイはどこ？ (Hey, where's Black Sky?)
ブラクスカイはどこなんだ？(Where the hell is Black Sky?)