The Indo-European root behind this page, reconstructed as *dyew-, meant the bright daytime sky — and it produced, in different branches, both the word for sky and the word for god. Greek Zeús, Latin Iuppiter, Sanskrit Dyaus Pitar and Latin deus all come from it. The Latin and Sanskrit forms are literally the same phrase, sky father, preserved in two languages that split thousands of years before either was written.
So a name meaning heavenly in a European language and a name meaning celestial in Sanskrit are, at root, invoking the same brightness overhead.
Arabic samā' and Persian āsmān give their own families, and Hawaiian lani is one of the most productive elements in Polynesian naming — it appears in a great many compounds and carries a sense of the heavens as an aristocratic and sacred domain rather than simply an expanse of air.
Where a tradition distinguishes the physical sky from a religious heaven, the names usually follow one or the other, and it is worth checking which. A name meaning sky and a name meaning paradise are doing quite different work even when a dictionary translates both as heavenly.