Unfortunately this phrase, to my knowledge, is never uttered in the Canon, but it was undoubtedly a phrase known to Holmes and Watson. In the Bruce-Partington Plans, we read: “In the third week of November, in the year 1895, a dense yellow fog settled down upon London.” The word fog appears 20 times in the story, but never is it called a “pea souper.”
In A Study in Scarlet, we read: “It was a foggy, cloudy morning, and a dun-coloured veil hung over the house-tops, looking like the reflection of the mud-coloured streets beneath.”
And yet this is a phrase we’ve come to associate with the adventures of Sherlock Holmes and it certainly has been used in numerous pastiches and parodies.
The phrase is something of a euphemism, of course. It was really smog that during classic cold air inversions hung low over the city, the inevitable result of four million people kept warm by coal and wood fires. The Great Smog of 1952 killed thousands and resulted in the Clean Air Act of 1956.