There are two I can think of that you might be referring to:

1) Galaxy which is distributed by the Mars confectionery company .

2) Milky way which is also distributed by the Mars confectionery company.

Chocolate, nougat, and caramel.

Yes

it is available (in a blue wrapper) in the UK

and maybe other countries.

It is made by the Mars confectionery company

There no milky way in sky there is only milky way galaxy

A confectionery shop is like a candy store. It's just a posh way of saying candy store.