Why would they have huge sprites there?
Wouldn't they appear 2d if you got close?
Those mountains are far off in the distance, so naturally, the mountains in the screenshot are the lower detail, distant versions of them, Oblivion had this for its distant land too, but Skyrim looks like it handles this much better than Oblivion. The distant land is still less detailed than the nearby land, though, and that's to be expected, it just wouldn't be feasible to render objects such far away in the same detail as nearby objects, nor would it really be necessary as you're not going to be looking at them so closely. And now the point of all that was that I think we can probably assume that the clouds and fog on those mountains are also low detail versions, and we're not going to be seeing the same sprites from up close.
The image still looks pretty impressive, though, and while the small flaws in it seem to prove its an in-game screenshot, when actually playing the game, I could probably ignore things like that easily enough. It's definitely a big improvement over Oblivion's mountains.