The Sky Spy is a vehicle from He-Man and She-Ra: A Christmas Special.
The Sky Spy was a rocket type vehicle built by Man-At-Arms to keep an eye on Skeletor and his Evil Warriors. During a test sequence, Orko entered the vehicle and got behind its steering wheel. When the Sky Spy took off, it found itself being chased by Skeletor's much larger vehicle, the Collector, almost immediately.
He-Man took a Laser Bolt up into the sky to stop the Evil Warriors from collecting the Sky Spy, and quickly found himself being aided by his sister She-Ra. They were unable to keep the Sky Spy from leaving Eternia's orbit, but since they thought nobody was aboard the ship at the time, they were not very concerned.
Shortly afterwards, the Heroic Warriors learned that Orko had been aboard the Sky Spy and that it had crash-landed somewhere on the distant planet Earth. Man-At-Arms supposed that another invention of his, the Transport Beam, would be able to return both Orko and the ship to Eternia, but it needed a Kerium Water Crystal to power it. She-Ra managed to obtain one such crystal on Etheria, and when the ship was transported back to Eternia, it brought along Orko as well as two Earth children: Miguel and Alisha.