A dense enough atmosphere will converge on the "horizon colours" of the atmosphere. There is a Haze horizon colour which the haze converges to, and this defaults to grey. There is also a Bluesky horizon colour which the "bluesky" component converges to, which defaults to a slightly-blueish grey. So even if your haze density is 0, your bluesky density has the potential to converge on a blueish grey colour if the atmosphere gets dense enough or you look through a large enough distance.
Matt