Where and how do you turn this on?
Maybe this can help: https://forum.corona-renderer.com/ Aerial Perspective for HDRIs
You can either use true volumetrics, or fake volume effect in Corona sky map. Both methods are covered in this article: https://support.chaos.com/hc/en-us/articles/13724606729361-How-to-create-fog-in-Corona-for-3ds-Max-