I have one other theory that is based on much simpler physics: the device
supposedly modifies the air going through it, without adding anything. That
rules out fog liquid or water. My guess is that the device is a heater
designed to produce a laminar flow with a very sharp temperature boundary.
This boundary could have refractive effects that bend projected light toward
the viewer. A very common demonstration of this effect can be seen as
water-like mirages on sun-heated paved roads, caused by sharp temperature
boundaries near the surface of the road.