From what I've heard, Lord Dick Tim, a pirate lord, is the one that first found the existence of skywhales.
He challenged the Muse pantheon to affirm the reality of his faith, beginning a war in the heavens.
Nobody knows who actually won, but one thing is sure: in the end, when he returned among human, he was changed and flew on a gigantic airship, skywhale shaped.
Some madmen also think they had an epiphany and believe that the only deity that should be worshipped is the Holy Bacon.
Needless to say, the Church of the Skywhale and the Church of the Holy Bacon are at war since always.