I looked it up, and sky_coastal_01 is not, in fact, an official skybox. It is listed in the VDC because it was included in koth_lazarus, but outside of that map's BSP file (which is inaccessible by other maps) that skybox does not exist within the game files. The reason for this is (to my understanding) because with the Jungle Inferno maps, Valve only purchased the maps
themselves to include in the game, but they did not buy any
custom assets that were included in the maps, which means those are still property of the original creators and thus Valve cannot redistribute them. Luckily, you yourself can still use the skybox as it is part of the
Frontline pack, which is free for you to download and use in your maps.