I've always faked this by painting 'fog' right into the horizon of my skybox image. As long as its the same color as the levels fog, it usually looks pretty seamless. But this may not work depending on what you want to do with your skybox.

Another way would be to use a scene map, a TGA that's solid at the bottom and fades out completely at the top. Have it be on a higher layer than the skybox of course. You'd either make it the same color as your fog, or make it grey and then change its color dynamically to match the fog, which would be the only option if your fog changes color as well.

You can really make some complex skies now days with several layers of all the different sky elements.