One possible name is for the phenomena is haze
haze a slight obscuration of the lower atmosphere, typically caused by fine suspended particles.
ODO tells us that haze is a probably a back-formation of hazy, an early 17th century nautical term meaning 'foggy'.
The Online Etymology Dictionary appears to state that the terms haze, fog and mist are practically interchangeable.
The English differentiation of haze, mist, fog (and other dialectal words) is unmatched in other tongues, where the same word generally covers all three and often "cloud" as well, and this may be seen as an effect of the English climate on the language.
But perhaps a more accurate name for it would be sea smoke
Sea smoke, frost smoke, or steam fog, is fog which is formed when very cold air moves over warmer water. Arctic sea smoke is sea smoke forming over small patches of open water in sea ice.
It forms when a light wind of very cold air mixes with a shallow layer of saturated warm air immediately above the warmer water. The warmer air is cooled beyond the dew point and can no longer hold as much water vapor, so the excess condenses out. The effect is similar to the "steam" produced over a hot bath or a hot drink, or even an exercising person.