I died on the sky canyon boss as usual because it absolutely cheap and I stopped the run but could I just continue from sky canyon and if so does have to be the very beginning or can it be sky canyon 2 ?

No, you'll have to start over from sky canyon 1 - we replicate runs based off of starting off of a completely new game, and a game over would throw you back to the start of the zone. Also if you game over on a boss, you can't continue the run directly from that boss anyways.

My recommendation is to look at a map of sky canyon and also a few runs - don't have to follow the speedrun strats persay, but just knowing where to go will help immensely. The fact that you're game over-ing in sky canyon implies that you're juts winging the runs anyways.