Actually!
Nebulas are typically gaseous and have very very low density (they only appear "dense" in comparison to empty space because they are ginormous and often not only reflective, but emissive), but there is absolutely no reason why there couldn't be dust in space. There are several examples of that happening; Saturn's rings would be a perfect example. The gas jets expelling matter from comets certainly have a lot of dust in them as well as the comet basically disintegrates in the solar heat.
Asteroids are a tougher dust source to imagine. However, if an asteroid gets hits by another one it'll definitely puff up a cloud of particles with variable grain size. It's easily conceivable that an asteroid hit by another could develop a dust cloud orbiting it. If the velocity of the particles in the cloud doesn't exceed the escape velocity of the asteroid, the dust cloud will just keep orbiting. Dust can also originate from human activity in the vicinity. Ice debris from coolant leaks or waste dumps could stick around an asteroid large enough. If spacesuits or small utility tugs use pressurezed gas jets for maneuvering rather than more high-powered hypergolic thrusters with a lot more ejection velocity, that gas could potentially stick around the asteroid for a while. Or - if there's mining activity at the asteroid, explosives and other such efforts will definitely produce dust. Seismic shocks could potentially throw regolith dust upward from the surface of the entire asteroid!
The speeds of the particles would thus be very low, and the collisions of particles could either result in particles bouncing off from each other, or clumping together to form larger particles - that would depend on the composition of the particles. Ferromagnetic particles would probably clump together by magnetic field alignment alone. Don't know how rock dust (silicate or some other) would behave. A mix of rock and water ice particles would probably be the most interesting, as you might get some small amount of static electricity in the dust cloud.
Regardless, this type of dust clouds would be very short term indeed in most cases, especially in the inner solar system. The solar wind will push such dust away relatively fast. However, further in the solar system, such dust and gas clouds can last for a long time and grow to quite formidable sizes. This type of dust/gas atmosphere is called a coma, and it should be no surprise that this is how comets have gained their moniker. Comets can in fact have huge comas while they are approaching the Sun. At the distance of Mars orbit (1.5 AU or so) the solar wind starts to really stretch it and form a tail, and by doing this also reduces the diameter of the coma.
But yeah, up there in outer solar system, things can have a fairly static and large coma as long as there's some activity to replenish the small amount lost to solar wind. Dust is less sensitive to solar wind than gas is, but it will eventually waste away when exposed to the solar wind. However, the asteroids might also actually be moons of a gas giant, in which case their dust halo would be protected by the magnetic field of the larger planet.
As far as the scale of things goes: The Great Comet of 1882 initially had a coma that was roughly the size of Sun.
Whether or not the dust from such natural events would be dense enough to form crepuscular lighting effects is a different matter but for the sake of art I'm willing to ignore that and just say that there was some event that caused the dust cloud to be dense enough, because it's plausible enough and that image is gorgeous.
