Comstock will constantly make efforts to make it hard for you to return to the sky-line. Travel through a hole in the wall and use the hooks to board Prophet's zeppelin. Head inside and find a control panel.
Once you've entered the pilot's chamber you should spend some time exploring it. Soon after taking control you'll trigger a scene and the zeppelin will catch on fire.
Immediately proceed towards the back of the zeppelin and leave it by jumping through a hole in the cargo bay. Attach yourself to the sky-line and make your way to the final station.
There are two vending machines near the exit from this unguarded station and you can also find a machine gun, ammunition and medkits behind one of the police barriers. Once you're done exploring proceed to the Monument Island.