BGE implementation of the Fog sphere shader by Lars Pensjö https://ephenationopengl.blogspot.com/2012/01/fog-sphere-implemented-in-shader.html
Additional code by TheLumcoin
The size, location and the filter itself are controlled by an empty object properly called 'FogSphere', the settings, like fog density, color, etc, are in the game properties of said empty. You just need to append the empty into your scene to, hopefully, have it working.
NOTE: This filter will be completely rendered over materials with transparencies that are NOT set to 'Alpha Clip' or 'Alpha Anti-Aliasing'.