Eole:
If you can't change the fog distance, then change the size of the water itself.
Using a plane for water is a bad idea. A plane will extend under your terrain and then you will have 2x overdraw when looking at the terrain. Also if you have a skysphere now you have the skysphere drawn, then the plane, then the terrain.
You should have a hemisphere or a half-cube for your sky, and the water should be made out of a mesh which doesn't have polygons that extend under your terrain very far.
Then you can make your horizon as close to the camera as you want, and the fog will look right.
If you can't change the fog distance, then change the size of the water itself.
Using a plane for water is a bad idea. A plane will extend under your terrain and then you will have 2x overdraw when looking at the terrain. Also if you have a skysphere now you have the skysphere drawn, then the plane, then the terrain.
You should have a hemisphere or a half-cube for your sky, and the water should be made out of a mesh which doesn't have polygons that extend under your terrain very far.
Then you can make your horizon as close to the camera as you want, and the fog will look right.