Not knowing if there is a camera move or not, here’s what I suggest:
Roto the part that is in front.
Create a Camera Projection (if not familiar do a google search on the subject- you’ll get plenty of good tutorials) for the background ( water, sky and buildings). This will give you a nice 3d space to put some 3d particles simulating fog (Particular should do the job) or several 2d layers of fog for a more realistic look.
If you just drop in a single fog layer you will not get the look of things disappearing in the fog as they are farther from the camera. Even if you are going for a heavy thick fog, it would still be nice to see the outline of the buildings that are closer fading in.
Tudor “Ted” Jelescu
Senior VFX Artist