Mist that smells like burning hair

The group was attacked by this thing during their break-in of the Penhew Foundation on March 11, 1925. The group noted that it seems to move away from light sources.

There is a newspaper article discussing another victim, Alan Groot, who describes invasion by foggy tendrils and the smell of burning hair near the Penhew Foundation reported 2 weeks prior to the break-in.

Officer Pippin, on recounting his response to Alan Groot's attack for Inspector Tunt, says that he saw a 35' tall sparkling grey cloud that vanished when he flashed his light on it. He also smelled burning hair.