The mists of Ravenloft can appear anywhere in the multiverse and anyone venturing into them will find themself hopelessly lost before maybe arriving in Ravenloft with no means of escape.
I've been trying to find some information about the mists online, but can't seem to find much information.
This fan-wiki claims
The Mists appear to be nothing more than a manifestation of the Border Ethereal. They surround the demiplane at all times, creating The Misty Border. They radiate no aura of magic, nor reveal any alignment or sign of life. To all eyes they appear to be normal fog, yet they are anything but "normal."
The wikipedia page on Ravenloft is quite comprehensive, but doesn't seem to contain any more information about the nature of the mist. It does talk a bit about where Ravenloft is located (the deep ethereal plane in 2nd edition, Shadowfell in 5th).
Having summed up what little I have found about the mists so far; is there any information about what exactly the mist is, and how it brings people to Ravenloft? Or is it just supposed to be a mysterious force without any in-universe explanation, furthering the horror aspect of the setting?