It's almost certainly a shader, and using little of Unreal directly. Inside a shader, you can do ray marching for volumetric clouds, and curve space by curving the rays. Some skill is need to make it look good and not show artifacts.
The difficulty I have when doing weird shader stuff like this is almost always working around how UE4 does shaders, i.e. I can write the shadertoy raymarcher but working out how to actually use it is quite hard.
That and Unreal's shader compile process is almost completely undocumented so you have to work out yourself how to bully the RHI etc. into doing what you want.
Here's a simpler example:
https://www.shadertoy.com/view/tsBXW3