Wait, so your issue was using that sky to light your scene, but also have an alpha for the windows to put another image in the background and you would see white edges on the alpha? If that is correct, I put a Corona Compositing tag on the Sky and turn OFF Seen by Camera. This removes the white edges in the alpha for me, assuming this is the issue you had.
If I know what backdrop image I want to use, I add a large plane pointing at the camera. Add a Compositing Tag to this plane to ONLY be seen by camera. I can just slide this plane around until it looks good and render. In this case, you don't have to worry about the alpha.
I can post examples later if this fits your issue, but maybe I don't understand fully.