Try this tutorial:
How to make your own SkyBox with a digital camera
Skymaps/cubes for CGI use are a different beast from simple photomerge panos created from a handful of images, or a 360-degree cylindrical pano. What you need to do is cover the entire spherical view, and then create the six cube face mappings for a skybox format. A blender tutorial on doing this from a mirrorball image can be found here:
Blender 3D: Noob to Pro/Build a skybox
If you want to create a skybox with photography, then you'll have to shoot enough images to cover the entire sphere (with a typical ultrawide rectilinear lens, that'll be something like 20+ images: typically three rows in portrait format, with zenith and nadir shots. And will be difficult to accomplish without a specialized panohead to rotate the lens around its no-parallax point to stitch cleanly.
Photoshop's photomerge function cannot handle this type of panorama easily. I'd suggest the open source Hugin stitcher, which can create equirectangular 360x180 panos. Then you'd need to remap it to the cube faces, either with a Hugin CLI script, or a GUI tool like Pano2VR.
However, make sure that you need to do this. Packages like Blender can directly use equirectangulars or mirrorball/lightprobe images for environment maps if you use the Cycles renderer, so the skybox mapping may not be required.
See also: How are virtual tour photos taken?