I got the impression that the mist was just because the Dementors are out, not at Azkaban, and multiplying. Probably roaming around the countryside leeching emotions. If they eat good memories and feelings, I'll bet the mist is the visual manifestation of the lousy feelings and depression they leave behind.
In other words, the mist is Dementor poop.
Dementorrhea.
LOL!!