"Skyclad" is a neo-pagan term for ritual nudity, meaning literally that the practitioners are dressed only in the sky, due to their highly nature-oriented beliefs.
The band's fifth studio album The Silent Whales of Lunar Sea's title is a homophonic pun: when said aloud in a non-rhotic accent (such as British or Australian accents) it sounds identical to "The Silent Wails of Lunacy".