Hi,
After some discussions with @bghgary here: KTX2 As Six Sided Skybox Cubemap Textures, it turns out that babylon.js does not support the creation of a skybox using ktx2 textures.
As a skybox usually contains relatively high resolution textures, adding support for ktx2 compression would be very useful.
Here is a playground showing that the skybox cannot be created using ktx2 files: https://playground.babylonjs.com/#UU7RQ#2443
And here is the same code, but with working jpg files: https://playground.babylonjs.com/#UU7RQ#2442
Thanks