What happens everyday in the east and what color is the sky? What happens in the west and what color is the sky? What's the connection of the two?

In the story the descriptions are not talking about the eastern sky or the western sky. The author is talking about the decor of the rooms and their windows.

“The apartments were so irregularly disposed that the vision embraced but little more than one at a time. There was a sharp turn at every twenty or thirty yards, and at each turn a novel effect. To the right and left, in the middle of each wall, a tall and narrow Gothic window looked out upon a closed corridor which pursued the windings of the suite. These windows were of stained glass whose color varied in accordance with the prevailing hue of the decorations of the chamber into which it opened. That at the eastern extremity was hung, for example, in blue -- and vividly blue were its windows. But in the western or black chamber the effect of the fire-light that streamed upon the dark hangings through the blood-tinted panes, was ghastly in the extreme, and produced so wild a look upon the countenances of those who entered, that there were few of the company bold enough to set foot within its precincts at all.

There are seven rooms which represent the seven stages of life. The Eastern room would seem to represent the beginning of life, and the Western room represents death. How ironic that no one goes to the Western room but the death occurs in the Eastern Room.