What do you mean by "no penetration"?
A magically created or magically changed fog would need to penetrate any Magic Resistance to have any effect or even touch the person protected by MR.
I'm not sure the existence of a fog presupposes the only air available to breathe in the air is that fog. It's a creo auram spell, not a perdo auram spell. I'm inclined to say the magi can breathe without issue since he resisted the damage spell. I'm not sure why the first spell needs any penetration at all.
I think that in order for the magus to be in any danger at all, both spells need to penetrate.
If the magically created fog doesn't penetrate, then it cannot come into contact with the magus so cannot expose him to the corrosive effect of the second spell. Creating a fog does not preclude the presence of breathable air.
If the corrosive effect spell does not penetrate while the fog itself did penetrate, then the fog "inside" the magus' magic resistance does not become corrosive, while the now-corrosive fog "outside" of the magic resistance cannot touch the magus, and thus cannot damage him.