Cú Chulainn goes to "Dun Scathiag" (Fortress of Shadows) which is an impregnable castle named after its master - "Scáthach" (Shadowy One). That's about the extent of it, Skye being a "Lands of Shadows" or whatever is just Nasu extrapolating to make stuff cooler in Fate which is perfectly fine in its own right.