In the sentence
- I was shocked by how blue the sky was.
the clause how blue the sky was is the object of the preposition by. That makes it a noun clause (also called a complement clause), because the object of a preposition has to be a noun phrase, and noun clauses are the ones that can be used as noun phrases.
In terms of structure, it's what's called an embedded question, because it uses most (but not all) of the structure of a Wh-question. It starts with a Wh-word (how in this case), and it's missing the referent to the Wh-word, which has been moved to the front to mark the clause.
The one thing that real Wh-questions do that embedded question complement clauses don't do is Subject-Auxiliary Inversion. That's why the was is at the end of the clause (right before the place where the degree word that how is referring to would appear), instead of being inverted with the subject like a real question.
- How blue was the sky? I was shocked by the answer to this question.
(Except sometimes, when they really want an answer, people sometimes invert the auxiliary and subject in an embedded question complement, just like it was a real question. This is common in speech, but not writing.)