Basically, I want to render the mountains in 3DS Max and the clouds etc in Terragen, then comp the two together using Nuke.
So, as the Wiki suggests, rendering the Terrain set to "holdout" will render all terrain black and render everything else correctly.
For each assigned group you can say whether the objects in that group may be visible, rendered as a "holdout", or hidden. Holdouts are visible in the image as black shapes with an alpha value of 0, and are often needed so that you can composite layers together in post. Holdouts are rendered in 3D space so that objects, clouds or atmosphere in front of the holdout object are still visible. Atmosphere and clouds can be rendered as volumetric holdouts, by attaching them to a planet that is a member of an object group in "holdout" mode.