Thank you for a wonderful post dsiluvu. From what I know, besides 'sky goer', they are also called "celestial woman" or "cloud fairy." I found more on from different beliefs.
Tibetan Buddhism
Although dakini figures appear in Hinduism and in the Bön tradition, dakinis are particularly prevalent in Vajrayana Buddhism and have been particularly conceived in Tibetan Buddhism where the dakini, generally of volatile or wrathful temperament, act somewhat as a muse (or inspirational thoughtform) for spiritual practice. Dakinis are energetic beings in female form, evocative of the movement of energy in space. In this context, the sky or space indicates shunyata, the insubstantiality of all phenomena, which is, at the same time, the pure potentiality for all possible manifestations.
Dakinis, being associated with energy in all its functions, are linked with the revelation of the Anuttara Yoga Tantras or Higher Tantras, which represent the path of transformation, whereby the energy of negative emotions or kleshas, called poisons, are transformed into the luminous energy of enlightened awareness (jnana) yielding rigpa.
When considered as a stage on the Vajrayana Path, the dakini is the final stages: the first is the guru, which corresponds to the initial realization of the true condition of reality, as this is introduced by the guru in the empowerment, if the disciple obtains what the Inner Tantras call peyi yeshe. The second is the devata, which corresponds to the meditation insofar as the devata is the method we use for developing the state discovered in the initial realization of the true condition of reality. The third stage is the dakini insofar as the dakini is the source of the activities based on the realization of the guru and the meditation of the devata. In Dzogchen these three correspond to tawa, gompa and chöpa: the first is the direct Vision of the true nature of reality rather than an intellectual view of reality, as is the case with the term in other vehicles; the second is the continuity of this vision in sessions of meditation; and the third is the continuity of this vision in the everyday activities. As a tantric practice, imperfections are utilised to make the vision uninterrupted. As the Base, the dakinis are the energies of life; as the Path, they are the activities of advanced practitioners; as the Fruit, they are the actionless activities of realized Masters.
According to tradition, a Dakini gave a black hat to the third Karmapa, Rangjung Dorje (1284–1339), when he was three years old. The Black Crown became the emblem of the oldest reincarnating Tibetan lineage.
In Hinduism
In Hinduism the term Dakini has often negative associations. From the ninth through at least the thirteenth centuries, there was an active cult of dakinis, usually called yoginis in India today. The dakinis are the guardians of the deeper mysteries of the self, and it is through them that the secrets of inner transformation are opened. The Ranipur-Jharial Temple in Orissa, India, contains stone carvings of sixty-four dakinis, ancient symbolic representations of the female principles of intuitive wisdom. At least nine yogini temples have been discovered so far. There is a distinction among the terms goddess, shakti, yogini and dakini, shakini though in general conversation it is blurred and the terms are used interchangeably. A dakini is a Tantric priestess of ancient India who "carried the souls of the dead to the sky" They are timeless, inorganic, immortal, non-human beings who have co-existed since the very beginning with the Spiritual Energy.
In Japanese Buddhism
Dakini-ten in Japan (She always appears in the form to have ridden on white fox.) 1783
During the decline of the Heian period, the Dakini image was mixed together with images of foxes and half-naked women, acquiring the names Dakini-ten (Dakini-deity,
?), Shinko?-bosatsu (Central Fox Queen-Bodhisattva,
??), and Kiko-tenn? (Noble Fox-heavenly Queen,
?). In the Middle Ages the Emperor would chant before an image of the fox Dakini-ten during his enthronement ceremony, and both shogun and emperor would pay honors to Dakini-ten whenever they saw it. Although Dakini-ten was said to be a powerful Buddhist deity, the images and stories surrounding it in Japan in both medieval and modern times are entirely drawn from local kitsune mythology, having no parallels in China or India. The modern folk belief, often printed in Japanese books about religion, is that the fox image was a substitute for the Indian jackal, but the jackal is not associated with Dakini anywhere. It was a common belief at the time that ceasing to pay respects to Dakini-ten would cause the immediate ruin of the regime. Likewise, in the Genpei J?suiki it is claimed that Taira no Kiyomori met a kitsune on the road and that his subsequent performance of Dakini-ten rites caused him to rise from an unimportant clan leader to the ruler of the entire nation.
In early modern times the Dakini rite devolved into various spells called Dakini-ten, Izuna, and Akiba. People who felt wronged in their village could go to a corrupt yamabushi who practiced black magic, and get him to trap a kitsune and cause it to possess a third party. Reports of possession became especially common in the Edo and Meiji periods.