This is a new technology from Fogscreen, which projects onto fog.

From aboutprojectors.com:

The patented technology uses a “laminar, non-turbulent airflow that remains thin, crisp and protected from turbulence.”  The fog is made with ultrasonic waves and water, so no chemicals are necessary for its function. While the screen works great in daylight; there are better results for a darker room. For this screen, the company recommends a projector that utilizes at least 4,500 Lumens, and around 2 meters distance from the projector and screen. FogScreen has received numerous awards and was featured on many news agencies, including CNN, Reuters, New Scientist, NBC, and many others.