No, the title isn't a reference to the PS1 game Azure Dreams by Konami. Although that was quite a fun game, and I'm highly jazzed about a remake coming to the NDS. (Tao's Adventure is a similar game minus the town building and dating sim, and so it sucked.) Rather, it's a reference to the beautifully rendered skies in Grandia III.
I'm not generally one to gush on about a game's graphics, but this one merits some attention. It's evident to me that the artists spent some time studying nature. The game starts out with a crisp, fall day at a mountain village; brightly colored autumn leaves swirl here and there against a sharp sky that looks just like I'd expect to see in the mountains. I kept stopping to admire the view over a nearby valley.
Every new area, I would stop to check out the sky and just admire the view. I got to see the late-day pre-sunset sky, which gave the scene yet another view. Or the sunset as viewed from a beach, and from a ship. This is perhaps apropos in a game centered on the protagonist's desire to fly, but that attention to detail really caught my eye. Literally.
Maybe it's a dorky observation, but I stand by it. It's these little nuances or surprises in games that make me glad to be a gamer, after all.