The speaker always seems to be talking about the waterfowl flying around in the sky, and for good reason. To the speaker, the sky is the equivalent of a vast "desert," a "pathless coast," a very "cold" place. It is, in short, a wild place, and the perfect symbol for the disorder and lack of direction that the speaker all but says he feels. By the end of the poem, the speaker will feel a little different about things, but for the most part the sky is for him a limitless, "pathless," wide open space.
Lines 1-3: Our first image of the sky seems cheerful enough: dew is falling, and the heavens are glowing with a "rosy" hue. At the same time, we know that dusk is falling—that the day is at an end. The onset of night foreshadows the speaker's interest in death later in the poem, while the transition from day to night foreshadows his own transition from a semi-clueless guy to one who realizes that the universe is guided by the power of God.
Lines 7-8: The sky is crimson, which is to say a deep shade of red. This makes us think of blood, foreshadowing the theme of death that the poet will explore more explicitly later. The phrase "darkly painted on the crimson sky" is the speaker's way of saying the bird blends in with the dark sky—it's hard to see it. This is a metaphor for the fact that the speaker doesn't yet realize—he can't "see"—that the bird isn't just floating. In fact, it's being guided by some spiritual power.
Lines 13-16: The sky is described with all sorts of colorful phrases: "pathless coast," a "desert," and "illimitable air." These are all metaphors, for sure, and they are the speaker's way of describing the sky as a vast, barren, uncharted territory.
Lines 17-18: The sky is again described as an unwelcome place. It is a "far" away place, with a "cold, thin atmosphere." This description contrasts with the "welcome land," but also associates the sky with death.
Lines 25-26: Well, things certainly take a dark turn in these lines. The sky is now described as the "abyss of heaven," which essentially turns the sky into some kind of monster. Cleary, the sky isn't really an abyss, and isn't really swallowing anything, so these are metaphors for the fact that waterfowl has mysteriously disappeared.
Line 29-30: The speaker is up to his old tricks again. The sky is once more described as "boundless," a vast, almost-infinite space.