Actually, to orbit the Earth you'd have be to outside of the earths atmosphere, other wise the resistance from the air particles would slow down your craft, causing you to drift back down to the Earth. So they did leave the Earth, and they did return.
Given the sky is just a blue illusion of a covering, how are you defining earths atmosphere ? - I say they are still in earths "atmosphere" if you count the Van Allen radiation belts? Are you saying they went past these ??