Change sky colour in my image

Just to start - Can I ask what version of elements you are using?

For starts , and this is just my view, your images appears to be very oversaturated and flat. So just toning down the saturation and adding in some contrast may help.

This any better ?

A difficult challenge. The submitted image is small and I increased the pixel before making some adjustments. 
Did you shoot raw or jpg? Does not matter a lot. If you use Adobe Camera Raw with your PSE 12 you might open the original images in ACR. 

This is very fast and far from good. The slider image (below the train) shows the following was done: increased contrast, reduced shadows, recued vibrance and saturation and increased clarity (which can be dangerous.) 

Clive 

Smart Brush Tool / Blue Sky. Adjust Opacity.
Edit: Add a Levels Layer to tone down the sky, (beyond adjusting opacity.)
Carefully, touch up or repeat if necessary.

Here is my attempt.

Opened Levels and selected the white eyedropper. Clicked in the whitest part of the smoke. This corrected the white smoke. Used the levels adjustments and adjusted the shadows and the midtones. The foreground became very bright so I used the Levels mask and masked out the foreground by applying black on the mask at 70%.

As an after thought I adjusted the gray sky by using the Magic Wand to select the gray area and used Levels to make it slightly darker.