Islamic Interpretation of Dreams (Ibn-i Sirin):
Fog in a dream means going on a journey or returning from one. Fog in a dream also means confusion or obscurity about a material or a spiritual matter.
If one sees himselfwalking through fog in a dream, it means that he is intending something despised by God Almighty and he should desist from it. Fog in a dream also means ambiguity, dubiousness, tangle or doubt. Fog in a dream also means trials or a fight between people.
(Also see Clouds)