You originally described a problem where fog had a different falloff in world space at the edges of the screen compared to the center of the screen. The root cause of that is not the perspective projection; it's how the fog is being rendered.
The issue you are describing now is called perspective distortion (https://en.wikipedia.org/wiki/Perspective_distortion), and it is something that also happens with physical cameras when using a wide-angle lens. There is no single correct answer for dealing with this: similarly to the situation with map projections, every projection is a compromise between different types of distortion.
Anyway, if you're writing a ray tracer it's possible to use whatever projection you want, but if you're using the rasterizer in the GPU you're stuck with rectilinear projection and any alternate projection has to be approximated some other way (such as via post-processing, like you mention).
The issue you are describing now is called perspective distortion (https://en.wikipedia.org/wiki/Perspective_distortion), and it is something that also happens with physical cameras when using a wide-angle lens. There is no single correct answer for dealing with this: similarly to the situation with map projections, every projection is a compromise between different types of distortion.
Anyway, if you're writing a ray tracer it's possible to use whatever projection you want, but if you're using the rasterizer in the GPU you're stuck with rectilinear projection and any alternate projection has to be approximated some other way (such as via post-processing, like you mention).