Ok I know why the majority of the universe is black (or at least I know about olber’s paradox), what I want to know is how come whenever there is a picture of the sun (from space) there is black around it. Say for example a picture of mercury and the sun. There would be a black void in the picture before mercury. Why is that?
I hope this question is clear enough…
Because there’s very little dust between Mercury and the sun that could reflect the light from the sun into your eyes. 
Cecil (and no doubt many other people) has taken a stab at explaining why the sky is blue. If you grasp the answer to that one, you’ll see why the sky outside the atmosphere is not blue.
I understand why from the earth the sky is blue. I suppose I’m asking is this: Is there space dust that has an effect on the suns light?
Yes, you can see it from earth as zodiacal light or the gegenschein
Pictures and explanation of Zodiacal light:
http://antwrp.gsfc.nasa.gov/apod/ap970826.html
http://antwrp.gsfc.nasa.gov/apod/ap010912.html
Picture and explanation of the gegenschein:
http://antwrp.gsfc.nasa.gov/apod/ap990625.html
IANAA.
I’m not sure what the OP is asking, but if it’s along the lines of “Why can’t you see stars in photos of the sun,” or alternatively, “Is there stuff between the Sun and Mercury, and if so, why can’t we see it,” I believe that there is material between the Sun and Mercury (mostly stuff thrown off by the Sun - very light weight & having almost no drag on Mercury), but we can’t see it, because any reflection would be washed out by the Sun. It’s similar to a welder’s mask. Welding creates a huge amount of light. So a welder needs a very dark filter in order to avoid damage to his eyes. But anything not generating the same amount of light (e.g. a lightbulb, etc.) will be filtered out. So any reflected light between the Sun & Mercury (to use your example, I think) would be lost in the luminous “noise” of the Sun.
I hope this at least helps direct the OP…
-Redhawke