The problem isn't the hole, maya light fog volumes only work with Dmap shadows due to how Dmap are calculated. Essentially the volume is calculated at the same time as shadows are cast.
If your raytracing and want a fog volume in mental ray. you need to create a cube or any primative large enough to contain your fog volume in, assign a transmat shader to it, then assign a parti_volume to the volume shader on the shading group, give the color of the volume something not black and it should work.
If you go into mental ray features you might have to tweak around some settings to make it work if your camera is inside the fog bounding volume, not too sure.
This way the light will do ray marching calculations on the volume and will be visible in your renders.
Also avoid booleans... they are very messy unless your mesh is quite clean and its easy to clean up, IMO more problems than its worth.
FX supervisor - double negative