Create new document (Ctrl+N), any size (I used 900×600), then fill up the layer with #000000. Name this layer “Background”. Create new layer (Ctrl+Shift+N) and fill it with #090e12. Name the layer “Bg Light” and add a layer mask to it. With the mask selected, grab the Gradient (G) tool, set it to Radial Gradient, press D to reset the foreground and background colors to default and drag the Gradient tool from the center of the document towards the edge to get a circular light effect.
Time to create some fog/smoke. Create a new empty layer, name it “Smoke”. Make sure you’ve got the default colors on (press D), go to Filter › Render › Clouds. Set the blending mode to Soft Light.