It's not a skylight, it's a fixture! This "Hole in the Wall" light fixture housing is cast GRG(Glass fiber Reinforced Gypsum). It mounts directly to the studs in a wall (or ceiling as shown here) and the edges are taped and finished like any gypboard seam. When finished, this  HITW Series #155BX-HITW fixture appears to be a custom formed drywall "light niche."