To explain what oil mists are, is necessary to introduce some preliminary concepts. We will examine them gradually, starting from an experiment. Imagine to take four different cans: two of them contain distilled water, while the other two contain, respectively, ethanol and oil. If you mix water and ethanol, you get a mixture that shows uniform characteristics. In other words, we have a mix of water molecules and ethanol ones. If there was a magnifying glass able to see the individual molecules, we would notice that the composition is identical in all parts of the solution.
So we have an homogenous mixture characterized by a single phase composed by the two molecules.
If you mix water and oil, happens something different.