I've been playing around with this a bit this evening. With only partial success, as you can see. This image uses a 14 node shader that I constructed within the Material Room. To take it any further I would be inclined to start again and write the shader in Matmatic. But to be honest I'm no longer inclined.

I would find this much easier to do using Volume instead of DepthCue, because Volume has a convenient Density parameter.

"If I were a shadow, I know I wouldn't like to be half of what I should be."
Mr Otsuka, the old black tomcat in Kafka on the Shore (Haruki Murakami)