It isn't that hard. I wonder why no one has ever tried it. (or has published it) This is basically what the Source engine does. Only I use another scene for it.
Actually this was a 2D skybox but I converted it to a 3D one. The 2D skybox uses a very basic copy orientation script. For the 3D skybox I added a copy position feature. You should be able to do it yourself now. The skybox is about 10 times smaller than the main scene. All of the high buildings are part of the skybox. There are some lag issues though because I have to use a Python script to update the skybox every tic. But I can't execute two commands on that single tic.