Normally, you would do that by setting the undercolor, like this:
convert -undercolor magenta -font Tahoma -pointsize 20 label:' Around the World ' -virtual-pixel Background -background SkyBlue -distort Arc 60 arc_circle_1.png

but for some reason, that doesn't work when you set the undercolour to none
or transparent
because you can't overdraw with nothing to make something.
All I can suggest for the minute, is that you create the image with the default white undercolour, then make whites transparent:
convert -font Tahoma -pointsize 20 label:' Around the World ' -virtual-pixel Background -background SkyBlue -distort Arc 60 -fuzz 20% -transparent white arc_circle_1.png

If you have whites in your image somewhere, just set the undercolour to fucshia or something very contrasting and later, make that colour transparent.