I found the sky boring and added clouds to make it more interesting.
Do you think this is cheating? I really want to know.
Am very confused. I have made changes but not altered nature. Have I done something wrong?
No, you have not. It looks better. It's not as if you added an extra cheetah. I don't even particularly think you need to disclose it. It looks natural.
There is a common theme on photo forums, with certain people suggesting that a photo should be what the photographer saw. Maybe if one takes that statement metaphysically (as in: saw in his mind's eye type of thing), I agree. Literally? I do not, and I find it funny when those same people then post desaturated images of their dinner at f/1.2 with the camera held at MFD. This isn't that theme, but it's kinda like it.
To me, the end product has always been about what I want it to be. I'm not a photojournalist; there are rules in that realm for good reason. When it comes to art, do what you want to do. Your image is art.