You can do fog with sprites but HL1 isn't really designed for that kind of thing.
You can't even do 3d fog.
You could still probably make a pretty nice graveyard map though. There are lots of free skies to choose from, or make your own: http://www.gamedesign.net/node/9
You should be sure to have open graves with skeleton parts, and spiderwebs. And creepy lamps. And a little shack on a hill with a secret tunnel that goes into some TOTALLY RAD CATACOMBS. OH. YEAH.