There are a few options for fog, however to my knowledge it cannot be made as weather.
Depending on what kind of fog you want, there's the option for using a .particle file and placing it into the map. The only issues that come from this .particle is the amount of lag it causes.
EDIT: Forgot to mention, it may look static in the pictures - but it moves.
^One placement^
^Here, I put three placements of different sizes, to cover more area^
^What it would look like in a map^
This .particle is an edited version I made of another .particle that had been given to me. In other words, it's not mine.
http://www.mediafire.com/?187mb4e8n18lkai (Put the files into Particles.)
There's also the option to use a CloudMat file and place it into your map. The only problem with the CloudMat is that sometimes it disappears, depending on which way you have your camera facing. You also have to place several copies of it, since it functions as a Billboard and not a .particle or .mesh.