In this movie or show a man drives into a town covered in fog of a slate color. The town looks abandoned and somehow he meets a girl. They try to escape but I do not think he is able to and all the residents that are there are cannibals. Does that sound familiar to anyone?

Sounds like the last segment of the movie The Monster Club. You can watch it here: YouTube (http://www.youtube.com/watch?v=BfrhZDOWt_4&feature=channel&list=UL) starts around 2:20.