Frozen carbon dioxide (dry ice) sublimates directly into a vapor.

Sublimation and the water cycle:

Sublimation is the conversion between the solid and the gaseous phases of matter, with no intermediate liquid stage. For those of us interested in the water cycle, sublimation is most often used to describe the process of snow and ice changing into water vapor in the air without first melting into water.

"Dry ice" is actually solid, frozen carbon dioxide, which happens to sublimate, or turn to gas, at a chilly -78.5 °C (-109.3°F). The fog you see is actually a mixture of cold carbon dioxide gas and cold, humid air, created as the dry ice "melts" ... oops, I mean sublimates.