Hole in large sphere (LOD?)

I am just messing around in a copy of a scene in a game i’m working on, experimenting with various techniques and scripts. I am trying to create an animated skybox (kind of like the one in the default UDK scene). I have three huge spheres, think like 3000 by 3000 by 3000,
I was going to make one of them be just a little bit smaller than the other one and put a texture of just clouds with a transparent background on that one. Then I was going to put a texture of just a sun with a transparent background on the second one. Finally, I was going to put just a blue gradient on the third, and farthest out sphere. I would rotate the first sphere on it’s x axis. I would rotate the second sphere on it’s z axis slower than the first sphere. I would change the gradient of the third sphere over time. Anyways, back on topic, when I played the game, the spheres had a huge hole in them that followed the camera. Is there anyone who knows what is happening? Also, if you want to, could anyone tell me if my idea would work?

PS. This is in no way related to the topic and I have no idea if this is a commonly noted thing or what, but if you start a new question on this forum and click on the add a picture button, the text to the right hand side of the screen where it says Formatting Buttons is one off after the Make Selected Text a Blockquote one.

The hole in the spheres is possibly the draw distance maximum.

What kind of transparency are you using? Cutout (Alpha Test) or Alpha Blend? The later has problems with multiple transparent layers on top of another.