@Iglarion: That's the point. You need a good transition from foreground to background. You can achieve that by directly painting some translucent "fog" or clouds or whatever into your background/skybox, or by giving it a general color tint that matches your fog. You could also put a separate colored texture with an alpha gradient just above your background image or skybox to create a better transition. Then you can easily adjust its color to match your fog using the RGB values. Like this:



You can also do lots of other cool stuff with a layer setup like this; maybe you could paint clouds on your transition layer and move them using UV shifting.

And regarding the screenshot (beautiful by the way!): Have you tried to just use a fresh, slightly saturated blue fog that matches the sky? That could easily work.