Across the water from the western wall.
If you follow the West road out of the main city you will come across the main questline NPC Neramo. He is standing next to his tent with dwemer artifacts. Behind the tent, towards the water, is where you’ll find this skyshard.
Skyshard is on the cliff above the waterline. You will come across it if you exit the main city via the West gate and if you follow the road.
NPC Neramo’s tent, behind which is the skyshard
The mouth of The Grave stands open.
Main questline in Stros M’Kai will take you to The Grave mini dungeon. Imprisoned within is one of the people the captain wants you to free. Next to The Grave’s entrance is the skyshard. The entrance to the Grave is just a bit north of the main city.
On the screenshot above you can see the entrance into The Grave to the left and the skyshard is just right of it, in the base of the hill.
Crashed through a Saintsport roof.
When you enter Saintsport village, probably in search of the main quest NPC, you will see one of the central houses has a broken roof. House has blue-white doors and arch ed windows. Skyshartd’s shining is quite easy to spot. Go inside the house and collect your reward.
Skyshard is inside one of the Saintsport houses (incidentally, house with a broken roof).