The vowel that appears in “sky,” “my,” and “rhythm” is Y. English is unusual because Y can function as either a consonant or a vowel, depending on its position and sound in a word. In “sky” and “my,” it represents the diphthong /aɪ/, the sound heard in “eye.” In “rhythm,” Y supplies the word’s central vowel sound, commonly pronounced /ɪ/ in the first syllable and /əm/ at the end.
Y often acts as a consonant when it begins a syllable, as in “yes,” “yellow,” and “young.” In those words it represents the consonant sound /j/. It can also represent several vowel sounds elsewhere: “gym” has a short /ɪ/ sound, “happy” ends with an /i/ sound, and “type” uses /aɪ/.
A common misconception is that every English word must contain one of the five traditional vowel letters A, E, I, O, or U. Those letters are the core vowel letters, but Y can take on the same grammatical and phonetic role. The exact sound depends on the word and dialect.