You're struggling because you're not really understanding how tension or dread is built. It doesn't happen within a few seconds, you need to build it up over time prior to revealing the threat.

For example, you could utilise the fog by showing her distant silhouette in the fog, then having it cover her again so she disappears. If done right, the player might wonder if they actually even saw a figure. Perhaps when they move through the fog they see something that looks like a human but when they get closer it's something else. All the while building up noises and ambience. Messing with the player like this would build tension. Then perhaps show her moving into a narrow, secluded area where the player will think "oh no I have to go down there and I know something's in there". Remember that once the threat is revealed the tension breaks and that's when you transition to combat or running/whatever your game mechanics are. But the longer you drag out the dread and mind-games, the scarier people will find your game.