Both are "correct" - but pinky is informal, and pink is normal. Also pinky is less pink than pink. Pinky is like pinkish, which is also informal. If the colour is less pink than pink and you don't want to use pinky you can use pale pink, or light pink Actually, I'm not very keen on pink - I prefer red. What do you think? Pink?

Pink sky. Pinky sky would mean that the sky has something to do with your little pinky finger. You could say that "the sky is pinkish"