Shawshank Redemption ＝ショーシャンクの贖い
ショーシャンクの空に ＝ in the sky of Shawshank
In general, Japanese titles may be different from the original titles in many cases.
"An Officer and a Gentleman"
----> 愛と青春の旅立ち (A journey of love and adresence)
They would change the title for various reasons.
I guess, in this case, they wanted to prevent a confusion.
ショーシャンクの贖い sounds like that Shawshank is a name of the main character, a person.
ショーシャンクの空に can indicate that Shawhank is a name of a place, not a person.
However, in order to prevent such a confusion, ショーシャンクでの贖い (Redemption in Shawshank) would work.
Maybe 贖い is a dark word in Japanese, and they don't think it's appealing to Japanese people.
They wanted to avoid using the Japanese word, 贖い.
"空 (the sky)" may have a connotation of something bright and positive.
Or maybe they would think of the resemblance with カッコーの巣の上で (One Flew Over the Cuckoo's Nest ).