How high is the sky?

On a nice day, people like to go outside and look at the green plants, the brightly colored birds and the blue sky. One of things you hear prisoners complain about is not being able to see the sky. Space travel is a lot like living in prison. Close quarters, no going outside and no blue sky. You might have windows, but windows are a radiation hazard. You would be better off with video. You could sustain yourself for a while with the idea that you were on a big adventure, but I imagine even that would get old after a couple of years. So I got to wondering, what if you made a really big space ship? Once you are in orbit there is no structural requirement to support your mass because gravity has gone bye-bye, so you could easily build enormous structures. My question is, could you build a structure, a sphere for instance, that was so big you couldn't tell if there was a roof? Could you build a smaller room that gave the illusion of having no limit? Remember The Truman Show?