Lyric discussion by deathcab4awesome 

i think it's about the Museum of Modern Art (MoMA), the art museum that houses "The Starry Night" and "The Persistence of Memory" and is located in New York.

"A modern piece of glasswork" "Down on the corner that You walk each day in passing" - It was originally located on the corner of Fifth Avenue and 57th Street, but it relocated to other places. "In the middle of Manhattan" - MoMA is located in Midtown Manhattan in New York City. "The house that modern art built" "I ask for modern art"

The title "White Sky" probably refers to overcast weather, where the sky is mostly covered with clouds, hence the sky being white.

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