Sky Drop seems to be kinda buggy in general. I've just gone done with a match where it said Slowking and Mega Abomasnow were not affected by the sky drop damage after being picked up (neither being flying types)
http://replay.pokemonshowdown.com/vgc2014-72759719
(also in case it wasn't documented here, I've had it fail on ground types before.)
http://replay.pokemonshowdown.com/vgc2014-72759719
(also in case it wasn't documented here, I've had it fail on ground types before.)