Hmmm. Well, the mist is obviously a particle. But particle bounding boxes are VERY small (the white thing around the object when you click on it). So, just clicking on a random misty spot won't select the particle itself. If you do happen to find the object you placed that has a particle, delete it and try again. Or, you could try not using any particles, then see if it will export. I really don't know what the problem is...
[I personally don't like using particles because they create duplicates and sometimes confuse map maker]