I want to specify in my work calendar that I am away on Mondays because I study at the university on Mondays. Is it correct to say Monday is a "School day"?
Yes, "school" can be used to refer to any organization where something is taught. Here is one of the definitions (according to dictionary.com):
any institution at which instruction is given in a particular discipline.
Another definition from the same source directly answers your question:
a college or university.
It's more common for people to mean grade school when they mention school, so it makes sense to specify that you mean university. But there's no error in calling a university a school.