And I do know what he means! Indeed, I thought of Venice the very first time I read yet another great quote from Linda Greenlaw's The Lobster Chronicles: Life on a Very Small Island, which described the fog on the Isle au Haut as "a condensed mist as thick as melted pearls. 'Pea soup,' that's what old-timers would call this wet, raw oyster world of fog..."
I couldn't have thought of a more appropriate metaphor about nebbia veneziana myself! But the word in Venice's dialect might at least give you just the right sensation: "ca'igo"! Brrrr!!