There are waves in the sky.
If there's a contrast in density, whether sharp (as at the interface between a body of water and the air above it), or very gradual (as in the atmosphere itself, with denser air at bottom, lighter air above), chances are we can see gravity waves there.
The waves we see in the ocean or a lake are called surface gravity waves. The waves we see in the sky are called internal gravity waves. Gravitational waves are completely unrelated.