Looks like a piece of plastic on the screen and I keep trying to peel it off, but it might just be the screen..lol When you blow hot air on it the fog just disappears and you cant really wipe the screen..
That's weird... Sounds like the protective plastic my best friend kept on the screen of her Lumia 710 until she got screen protectors. But I know you also have a 710, so you would know if that was it. :P