Is it possible this is "The Petrified World" (1968) by Robert Sheckley? It was in his collection Can You Feel Anything When I Do This? (1973).
The protagonist, Lanigan, is from a much more mutable world than ours:
Lanigan looked at his watch. "Six-fifteen." But as he said it, the hour hand jumped convulsively forward. "No, it's five to seven."
He has a conversation with his neighbor Torstein in which we observe normal changes in his world:
"Well, Tom, how's the boy?" Torstein greeted him."
"Fine," Lanigan said, "just fine." He nodded pleasantly and began to walk away under a melting green sky. [...]
"I can't really afford a vacation this month," Lanigan said. (The sky was ochre and pink now-, three pines had withered; an aged oak had turned into a youthful cactus.)
It's Torstein who mentions mountains in a golden sky:
"Trees and lakes," Torstein was rhapsodizing. "The feel of grass growing under your feet, the sight of tall black mountains marching across a golden sky--"
Lanigan ultimately ends up stuck in his nightmare; our "petrified" (immutable) world.
The street at first seemed like any normal city street. There were paving stones, cars, people, buildings, a sky overhead, a sun in the sky. All perfectly normal. Except that nothing was happening.
The pavement never once yielded beneath his feet. Over there was the First National City Bank; it had been here yesterday, which was bad enough; but worse it would be there without fail tomorrow, and the day after that, and the year after that. The First National City Bank (Founded 1892) was grotesquely devoid of possibilities. It would never become a tomb, an airplane, the bones of a prehistoric monster. Sullenly it would remain a building of concrete and steel, madly persisting in its fixity until men with tools came and tediously tore it down.
Lanigan walked through this petrified world, under a blue sky that oozed a sly white around the edges, teasingly promising something that was never delivered. Traffic moved implacably to the right, people crossed at crossings, clocks were within minutes of agreement.
The story was originally published in If, February 1968; you can read it at archive.org.