When we use the word ethereal we normally refer to an other-worldly nature, that is not quite part of our realm of experience. In this poem we can definitely see the way in which Shelley's descriptions of the skylark and the many comparisons he uses to try and capture its beauty could be considered to be other-worldly in their presentation. Consider some of the natural descriptions that are given of the skylark:

Like a cloud of fire;
The blue deep thou wingest...
The pale purple even
Melts around thy flight;
Like a star of Heaven,
In the broad daylight.

Note the way in which both of these descriptions try to capture the beauty of the skylark by ethereal descriptions. On the one hand, this tiny, diminutive bird is compared to a "cloud of fire" as it wings its way through the "blue deep." Such vivid and dramatic imagery can only be described as other-worldly in the way it gives the skylark almost mystical and portentous significance. Likewise, its flight has the ability to melt the "pale purple even" and it is described as a "star of Heaven" in "broad daylight." Note the way in which this apparent paradox again is ethereal: how can there be a star of Heaven during daylight? Yet this imagery captures the importance and majestic beauty of the skylark.