Not fog, but smog. Fog is just a natural weather phenomenon of very low lying cloud. Smog is smoke+fog and occurs when smoke particles become trapped in fog. During the industrial revolution a great deal of British coal was burnt in the UK, our coal tends to have a high sulphur content and this is primarily what gave the smog its yellow colour. The last major London smog was in 1952 and its triggered the introduction of the first 'Clean Air Act' in 1956.

http://www.english-online.at/environment/air-pollution/air-pollution-and-smog.htm

http://en.wikipedia.org/wiki/Clean_Air_Act_1956