Russian city cloaked in returning thick smog (4)
I believe the answer is:
omsk
'russian city' is the definition.
(city in Russia)
'cloaked in returning thick smog' is the wordplay.
'returning' shows that the letters should be reversed in order.
'cloaked in' indicates the answer is hidden within the clue (cloak can mean to conceal).
'ksmo' is hidden within 'thick smog'.
'ksmo' in reverse letter order is 'OMSK'.
(Other definitions for omsk that I've seen before include "Russian place" , "City of Asian Russia" , "Russian city" , "City of south central Russia" , "Russian port" .)