Well, that's the Skybox for you, it's square, ugly, and bottomless.
If you want to make it impossible for players to view that far out at the edge of the map,
then just do as Stryder said, if you want to use alpha tiles or something different to add
"sky-effects" to your terrain, then you'd want to look into cloudspheres, maybe even stormspheres,
or just cloud doodads. The former two can be found by downloading the UTM and extracting them
from there, the latter doodad can be found either on wc3c.net or in one of Toby's maps, I don't
remember which one.