A small piece I did in Photoshop, I started with a grey background and then proceed to draw the 'shadow' I then got a new layer and lowered the opacity and added a free cloud effect into the file and merged the two layers then duplicated the newly merged layer rotated it and lowered that opacity just to give the 'mist' some light to it.
Taking some inspiration from Slender Man I gave it some tentacles, to make it look more unnatural.