Welcome to this user forum.
If your number was originally issued by BT Retail, then there should be no problems porting it out to Sky.
You would need to ask Sky to takeover your line, and keep the same number, that is their responsibility, and BT Retail would not be able to help with that.
If Sky are not prepared to do that, and you want to keep your number, then you will have to cancel the transfer, and go back to BT Retail.