This idiom is not uncommon in Australian English, especially in the political sphere. It's usually said after the event to point out that the worst predictions have not come true.
"Hey, the sky hasn't fallen after all…" (The Australian Financial Times, heading an article about house prices).
"The sky hasn't fallen yet, but voters are negative on carbon tax" (The Canberra Times)
"There are many countries that have been progressive enough to allow it and funnily enough the sky hasn't fallen in" (The Burnie Advocate, Tasmania, on gay marriage).
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