To summarize, you want to create The Division in Unreal 4. Since you are new to the whole game development process, I wouldn’t recommend making something at that scale, unless you are a millionaire and can hire enough people to make the game.
But lets say you are a millionaire, I would do most of it procedurally, within Unreal 4 Blueprints you can make amazing procedural environments. Read some research papers on procedural city generation in combination with procedural buildings, and see if there is anything to your liking. All art assets can be created seperately in any 3d modelling tool you like.
The fog is a good idea, a lot of games used it in the good old N64 days. You could make the camera far clipping plane exactly stop right behind the fog, this way nothing is rendered at a fairly close distance. Add some cool snow particles from the cave demo, and you are done.