Take a ride over to Dubell Lumber in Cherry Hill
. They have a good selection of deck products. A while back I was looking at some decking there that had color and "grain" all the way through (actually subtle color variations when it was extruded). You can cut and route it like wood and the edges can be mitered and glued with a glue that will chemically "weld" the joint together.
It would be fine to use this for something like a skylight where it would be supported, but unsupported it will sag over time. It's just not as stiff as wood.
You'll want to use something flexible like LifeCaulk or butyl tape to seal the plexi to the plastic trim. The details will depend on how you build it but keep in mind it does move more than wood as it heats/cools.
When you're routing this stuff I like to do light passes and it helps to have a second person with a shop vac catching the plastic as it comes off the router. Otherwise the static electricity will have it sticking to everything and it makes a real mess.
Post some pics if you do this project. I've done some stuff using white PVC but I haven't played around with the colored "wood tone" stuff yet. I'm curious to see how you like working with it.