From the OED: ...
2. figurative and allusive. Something that clouds a person's perception or understanding; (also) something or someone considered as insubstantial or unreal.
In later use frequently used sarcastically in rhetorical questions, as ‘What do you think that is, Scotch mist?’, etc., implying that the person addressed has failed to perceive something obvious.
1647 J. Cleveland Char. London Diurnall 7 This is he, that hath put out one of the Kingdoms eyes, by clouding our Mother-University, and (if the Scotch-mist further prevaile) will extinguish this other.
1660 J. Collop Itur Satyricum 9 No pulpits shall vie tricks with Hocus Pocus Truths rais shall clear them, that no Scotch myst choak us.
1683 R. L'Estrange Considerations upon Printed Sheet 27 This Paper is only a Scotch Mist from one End to the Other. There's..not One Syllable in Proof.