Please consider this a ›temporary‹ answer (maybe Will Robertson can provide more info). I'm still in the process of investigating that problem myself (I'm testing SkyFonts + Monotype Library Subscription + LuaLaTeX). But all the data I have so far points in the same direction:
fontspec is not able to load a font installed via SkyFonts unless the font license you purchased includes a physical installation of the font file on your system.
We're talking about the difference between ›bought‹ and ›rented‹ fonts here. You can (1) ›buy‹ a font from, say, MyFonts, install it via SkyFonts, and you'll get a physical font file somewhere on your harddrive (so that, IMHO, there isn't much point in using SkyFonts in the first place). Or you can (2) subscribe to a ›rental‹ plan such as the Monotype Library Subscription, for a monthly, yearly, or 3-yearly fee. In that case, the font files will remain in the cloud. The SkyFonts application provides the link between the cloud and your system, so that the applications you're working with can access them. However,
fontspec, as of yet, doesn't seem to be prepared for such a constellation. It still requires physical files on your system.
I tested both scenario 1 and 2. Scenario 1 got me physical files in
...AppData\Roaming\Monotype\skyfonts-myfonts. I was too lazy to add that path to the Lua font search path list, so I just copied those files to the standard Windows fonts dir (making loading SkyFonts obsolete). No problems in TeX. Scenario 2: same as with your post...
But considering that cloud services like this are becoming more and more common (like 'em or not), and considering that the TeX world has always been at the forefront of technical innovation, I'm confident that there'll be a solution in the near future.
PS: while I'm not able to find the fonts from my Monotype subscription on my hard drive as proper font files, the fonts, once installed, still remain available with internet connection cut off. SkyFonts caches them in a huge file called