There's fog_volume on other games, such as L4D2 and CSGO but TF2 doesn't support those. I assume it's possible to have more than one fog controller active at once in TF2 too but i havent experimented with fog on TF2.
You can use a trigger_multiple that uses !activator (eg, the player) to SetFogController, where each fog controller has different fog settings. cp_well does this.
Go to this thread: http://tf2maps.net/threads/valve-maps-decompiled.5952/ Grab cp_well and check out the trigger_multiple that is near the round vault doors on the way to the last point. I think ctf_well may use this as well, but I know cp_well has them for certain.
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