Default UI shaders does not takes fog into account on rendering, but in WorldSpace mode it's can be necessary. I've made shader to draw UI elements with fog and that is modified UI/Default shader code. So it's will works fine in most Unity versions and also with URP.
Package contains UI/Default_Fog shader to work with Global Fog and example DEMO scene. Elements rendered with it correctly drown in fog if moving away from the camera. Works fine in both Standard and Universal Render Pipelines.