The saying or idiom pie in the sky essentially means an empty promise or empty wish.
The idiom pie in the sky was first recorded in the year 1911 in a rallying song of a union, the International Workers of the World (or “Wobblies”): “Work and pray, live on hay, you'll get pie in the sky when you die.
So it's basically a wish or promise that is not guaranteed or essentially a dream that you would hope to come true but will never come true.
Pie in the sky is also for something desirable or heavenly but is not actually obtainable.
So if your'e hoping to go to heaven when you die that would be a saying for pie in the sky because heaven seems so great but no one can really get to heaven because heaven and god or Jesus does not exist.