Unless your phone was correctly configured not to roam then you've probably been correctly charged. (It's obviously connected to the local cellular network)
Modern smart phones use data in the background. Thailand is 36p per MB and can be used quite quickly.
Of course, you can contact Sky to dispute it.
Going forwards, if you intend to use WiFi only then put your phone in flight mode. (This will ensure no cellular is used but you can still connect to WiFi networks)
I am just another Sky customer and my views are my own even if you don't like the answers
