They say you give up a few things, chasing a dream. In those mists that's the literal truth, for every dream of yours that comes true, a piece of yourself, mind, body, or soul, gets taken by the mist. Worst part is, you won't even know what the cost of your dreams are until you go to leave, and by then you might not even have a mind left to change...
A fragment of the mists of creation, drawn to those desperate to make their dreams come true. Suitable for any magical fantasy setting.
Thunder and lightning is the sign of their shamans hunting and killing demons. Children's souls must be protected for their souls are not firmly in place yet and are easy for demons to take hold of. The shamans must hunt and destroy them and each break of thunder is another death of a demon hunting for souls.