I think the most likely cause of that error would be that you have told Skyline to only include peptides from your spectral library and none of the spectral library peptides can be found in that FASTA file.
That is, the answer "Pick peptides matching" to on the "Library" tab "Settings > Peptide Settings" is "Library" (or maybe "Library and Filter").
If you want Skyline to include peptides that might not be in the library you could change that setting to "Filter" or "Library or Filter".
If you want to add all of the peptides from your spectral library to your document regardless of whether they can be found in a FASTA file you can go to the library explorer with the "View > Spectral Libraries" menu item (that menu item has moved to "View > Libraries > Library Explorer" in Skyline-daily) and ten press the "Add All" button.
After you have added peptides in that way you can organize them by protein using the "Refine > Associate Proteins" menu item.
If you are still having trouble you can send us your Skyline document and FASTA file.
In Skyline you can use the menu item:
File > Share
to create a .zip file containing your Skyline document and supporting files including spectral libraries.
Files which are less than 50MB can be attached to these support requests.
If your .sky.zip and/or your FASTA file are larger than that you can always upload them here:
https://skyline.ms/files.url
-- Nick