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...
I think I'd agree with the modern stadium, I definitely want to do something more original, I just don't know what.
Elephants did fight in the roman colosseums for a while but they stopped it because people didn't like seeing the elephants get hurt (that and the fact that they were pitted against 100+ people, so I'm guessing the supply ran out).
If we start questioning why this is happening it all falls apart. Why would elephants build an arena anyway? 
Point taken about the sky...that would be a very bad thing...
That takes me back to square one. I know I want it to be quite dark, with the focus being on the (lit) arena; but that could be achieved just by setting it at night where ever it is...
Maybe in a canyon/desert or ocean....
Last edited by elephantinc; 07-03-2011 at 07:02 PM.