To make one from scratch for yourself, would involve learning a 3D creation program like Blender. The effort and time required to do that would not be justified if all you want to make is that one object.
Re-skinning someone else’s existing asset would be a much more viable approach, but you would need to look for objects that are technically suitable (i.e. based on planes with a semi-transparent texture material applied) and available for re-skinning (check the author’s License conditions in the asset’s config.txt file).
Another option is to find someone who already makes assets for Trainz and is willing to make the object(s) for you.
A fourth option is to track down the fog thing in that screenshot. Maybe contact whoever made that Thomas video and ask them if they know the kuid number of the asset and where it came from. Or do a Google for Trainz assets and terms like fog or mist and see if anything comes up. There are many third party websites out there that host Trainz assets not held on the Download Station.
Speaking of the DLS, I found an old TRS2006 asset called TSP_fog1 by creator segy, <kuid:71378:1312>. Not sure of its structure, but it says it’s designed to make trains look like they are gradually disappearing into a fog, so could be worth checking out.