Yes and no. Yes - because it doesn't violate copyright law. No - because Sky does not allow VPNs according to their terms and conditions. But that is clearly only up to Sky and you are not breaking any laws if you connect to a VPN to enjoy your home program abroad. However, Sky tries to block you from being able to connect to Sky Go outside the EU. To get around this, you'll need to connect a VPN. With this you are violating Sky's terms and conditions - but a VPN is safe and anonymous. That means you can't trace anything back.