I can't speak for all such machines, but the Humax that I have will record an AV channel, so, as long as the Sky box is plugged in, usually via a scart socket, it will record. You will have to set the program on both the PVR and the Sky box.
Above is slightly incorrect - the recorder that allows for input from Sky is a Panasonic (I use both together as one does things the other does not, and vice versa). I guess that's part of the problem at the moment. Nothing seems to tick all of the boxes.