There's not really much of a solution here. If you think about it, fog is made up of little droplets of water. So what you're really asking is for a flashlight that can penetrate droplets of water. The more light you shoot out, the more light you're going to get back in your face. As LukeA mentioned, beam pattern is more important than color. The reason is that if you have a throwy tight spot beam, the reflected light will be a small point. Furthermore, if you hold your spot light away from your line of sight, then you will see more of the illuminated object rather than the reflected light. This is why car's fog beams are down low. The light is not only shining under the fog, but is also at a farther distance from your line of sight.
Supposedly bluer lights are composed of a wavelength that is more susceptible to being refracted which scatters the light. This is why they used to (some still do) promote yellow foglights. The yellow beam's wavelengths are suppose to scatter less. This could be true theoretically, but in practice, no one can say for certain.
It IS noticeable that bluer lights don't illuminate objects well through fog for a different reason. LED's cast a beam that lacks the redder part of the light spectrum, while incandescents are more balanced so to speak. So when your led light hits an object, you seeing more of one color than the others, primarily blue. Whereas when you use incandescent, an illuminated object reflects back a lot more color. This comes into play when you add fog to the equation. The blue light reflecting against the white fog makes it hard to see make things out. Incandescent light on the other hand reflects back more colors such as the yellow to red colors. The warmer colors contrast better against the white fog in my opinion.
As mentioned before, it's more important though that the beam be narrow so that the fog that is illuminated is not in your visual path, and that you hold the beam as far from your line of sight as possible. If looking down, the light should be above your head, and if looking up, the light should be below (garden hose grip). Pretty much intuitive when you're actually in dense fog with a light.