It must be remembered that the wing, at any given moment, is generating more force than any other part of the airplane, including the engine, by far.
Slipping turns are much more prone to create a spiral dive because the critical ingredients are already there: loss of lift from the steeper bank and a stronger force pulling the plane sideways. Because of the bank, the horizontal empennage, including the elevator, will begin to pull the plane into a descending spiral. Pilots, seeking to stop the descent (especially when disoriented by lack of VFR conditions), will tighten the spiral by pulling on the elevator more.
Vertical lift is much less affected by the smaller bank of the skidding turn, so it is less known to create a spiral (but more known to create a deadly tip stall).
The key element of a "skid" input (rudder) is the ability of the rudder to roll the airplane. High wing trainers have a lot of area underneath the CG and must be "helped" with the ailerons to maintain bank angle in a turn. Without aileron input they will have a greater tendency to "skid" (inclinometer ball to the outside).
Low wing aircraft, with more area above the CG, and dihedral, can be "snap rolled" with hard rudder alone.
Gliders will also have a greater tendency to roll with rudder owing to the wing tip speed differential of their long wings.
So, one can see it is possible to design an airplane to do a coordinated roll/yaw turn with rudder alone. (If it rolls enough, it is no longer skidding!).
A skidding turn does create a lot of drag, which can start a downward spiral path due to loss of airspeed, but it is the wing and horizontal surfaces in a bank that are the real culprits to this hair-raising scenario.
Fortunately, one can recover by relaxing elevator, cutting power, and rolling to level before pulling out.