Fog at the Baker Street station?

Sounds like a sudden pressure change, you get the same effect when an airliner depressurises. As to what caused it I have no idea.

I highly doubt that - it did not feel like dust, and it was the only time I saw this type of thing in the air at Baker Street. It certainly wasn't there later today, and the trains are just as fast. Not to mention that it does not explain sudden air movement.

Perhaps Sherlock Holmes should be called in to investigate .... ;D

The fog is a result of a sudden drop in air pressure. I am not sure of the science involved but I think that the moisture in the air reacts to a sudden drop in air pressure by condensing hence the fog. This is particularly common in enclosed spaces with high humidity, such as the Tube lines.

A rapid change in air pressure is, to a good approximation, "adiabatic" - we have a closed system with no net energy gain or loss - only transfers within the system. The pressure drop manifests as a rapid expansion, the kinetic energy for which comes from the air itself, resulting in a cooling of the air. (This is also the principle on which a fridge works)
The amount of moisture that can be held in the air depends on its temperature - if the temperature falls below the dew point (the point at which the actual amount of moisture present is equal to the maximum) the excess moisture starts to condense.

Low pressure can cause fogging in other circumstances too - fog can sometimes be seen above an aircraft wing. Two impressive examples here and here

The cloud chamber, used for detecting subatomic particles, also uses the same principle.

Physics lesson over

(I should point out that although I studied for an MSc in meteorology, I didn't pass!)

The murder and disposal of the body took place near Gloucester Road - 13 Caulfield Gardens - someone has even identified the actual location as 118 Cromwell Road , on the north side of the road, near the junction with Grenville Place (link is approximate as there are no buildings surviving between 114 and 132). The body would have been deposited on the roof of a clockwise Circle train waiting for access to the Cromwell Curve and fell off as it approached Aldgate.
Although the Metropolitan is referred to throughout, the track in question, right next to the houses, was only used by District trains (the Met used its own parallel tracks).

The story, published in 1908, is actually set in 1895. Although Jensen says that Gloucester Road station did not take that name until 1907 (to match that of the new GNPBR station next door) it was previously "Brompton (Gloucester Road)", so not a complete anachronism.

(EDIT)
The victim's name was Cadogan West (sounds like a good name for a tube station!) Fortuitously, this was parked opposite the site of 118 Cromwell road when the Street view car passed by.

Quite - the absence of a ticket was taken by Holmes to suggest of only two possible explanations: either his murderer stole it from him (perhaps to conceal their intended destination) or that he arrived on the railway other than by a station.