With a RichTextLabel node you can use BBCode formatting.
First enable the "Bb Code" property in the inspector, then enter the code in the BBCode text field.
For your example the code would be:
The sky is [color=#4ab3ff]blue
To stop using a color use
Note that you can simply test colors with the modulate property and copy the color code. Or just use one of the built in colors like
Of course you could do this also from script:
$RichTextLabel.bbcode_text = "The sky is [color=#4ab3ff]blue[/color]"
There is also a way to do this without BBCode, but I think this works only from script:
$RichTextLabel.add_text("The sky is ")