Hi,
Please see the notes at the bottom of the article Understanding the theme.skin file. The only time the theme.skin files from the /App_Themes folder are used is when running under .NET 3.5 medium trust hosting, under .NET 4 or .NET 3.5 Full Trust the theme.skin file is loaded from the skin folder located at /Data/Sites/[SiteID]/skins/[skinname]
/Data/skins is just the catalog of skins, it is not used by any sites but when a new site is created the skins from there are copied to the site specific skin folder.
Hope that helps,
Joe