A modern stadium would be ok... but I think they are probably generally quite boring to look at, and elephants fighting kind of seems like it needs something more. (based on what I saw when I google image searched 'stadium' there weren't many interesting looking things. they were mostly standard and boring)
A Roman Colosseum wouldn't suit elephants unless they were standing up like your indiana jones elephant but in roman armour
A cave could possibly work, but why a giant arena is in a cave for I don't know. Unless you plan on digging out the cave to look like a modern stadium or something it kind of seems like an underground scene where elephants illegally fight each other
When you say sky I imagine the Skyworld level in smash brothers brawl and the elephants would fall to their doom when they fall off...
that's a "Ch" pronounced as a "K"
Computer skills I should have:
Objective C, C#, Java, MEL. Python, C++, XML, JavaScript, XSLT, HTML, SQL, CSS, FXScript, Clips, SOAR, ActionScript, OpenGL, DirectX
Maya, XSI, Photoshop, AfterEffects, Motion, Illustrator, Flash, Swift3D