Generally water, mercury and gasoline and such substances exist as liquids at room temperature (at normal pressure). So when they evaporate or change to a gaseous state, they are usually called as vapours. It has been the tradition so far.
As people are not used to saying water gas, mercury gas or gasoline gas, since ages.
Ammonia, Helium, Oxygen, Carbon dioxide etc. exist as gases at room temperature. So they are referred to as gases only and not as vapours. It sounds weird when one says oxygen vapours.
But calling a gas as vapour will be justified and is more meaningful, when the liquid and gaseous phases are in equilibrium and are sharing a common surface boundary. When water or mercury is boiled, the gaseous substances are referred to as vapours.
Similarly, people use the word steam to refer to water vapour. We are probably talking about the heat or temperature or pressure in steam. So we refer to water as steam.
Water drops seen in fog is not supposed to be (vapour or) gaseous form. It is supposed to be called aerosols or colloidal suspensions of liquid water in air.
Water vapour is also a gas.