The speaker is personifying these things when they call the sea and sky lonely. In personification, objects, animals, or concepts are given human traits. It is a human trait to be lonely, and the speaker longs to go off to a part of the sea so far away that they will be all alone. The sea and the sky will then seem lonely because there will be no other people around.
The speaker feels a strong compulsion to seek the solitude the seas provide. They do not depict the sea as a place of fearfulness or desolation but as an arena of comfort and beauty where they can commune with nature. The speaker longs to see the gray mist over the sea, to feel the spray of the ocean hitting their face, and to hear the seagulls cry. Their words paint the seas as a compelling place where it would be a joy to be—in large part because the speaker can enjoy solitude and contemplation there amidst the natural world.