The party up to this point has been trying to find a way out. There is a town and there are people but society here is probably unlike where you are from and most find it unpleasant.
Which brings us to the fog. The fog is the only terrain outside of town. The ground is rocky plates of shale and limestone. Efforts to map the area are useless because land and objects will shift when out of view. The fog only allows ten feet of vision with good light. Further with infravision, but not much, and in no way reliable. Out in the fog not only is there every manner of beast and creature but there are also people and often mysterious "shipments" containing weapons, armor, food, drugs and all manners of supply. They appear just as you have. Out of no where but obviously from somewhere.
It will be your quest to navigate this environment.