I have a book, in hardcopy, entitled ASTRONOMY, by AGNES M. CLERKE, published in 1898. It's from THE CONCISE KNOWLEDGE LIBRARY, and aims to be an authoritative account for the layman of the subject.
The very last chapter, VII. THE CONSTRUCTION OF THE HEAVENS of Section IV - THE SIDEREAL HEAVENS, is most "illuminating" in regard to this "interesting thought".
In the first place, it was unknown at that time that the sun was situated in a "galaxy", and the stars of the Milky Way were at that time understood as "the universe", and the very crudely perceived dimensions of our galaxy were construed as the dimensions of the "heavens" or universe.
Most interesting is the discussion of the Andromeda Nebula. It was known at that time that its spectrum resembled the stellar spectra, and the idea that it might be an "external universe" is entertained, only to be rejected, on the ground of the great distance that would imply.
A lot of flexibility of mind is shown, however. It is suggested that our galaxy, or "universe" might be held in isolation by a bubble of luminiferous ether, for example.
Utimately, it seems that it was just very difficult to evaluate the immense scale of the observable heavens.