"The Unpleasant Profession of Jonathan Hoag" by Robert A. Heinlein, also the answer to this old question. Originally published in Unknown Worlds, October 1942, available at the Internet Archive. The story has its own Wikipedia page.
The part I remember is where the man is driving and rolls down his car window and everything outside his car is grey. It's like a fog, but inside the car things look normal through the windows.
A few blocks later Randall saw a patrolman standing on the sidewalk, warming himself in the sun, and watching some boys playing sand-lot football. He pulled up to the curb beside him. "Run down the window, Cyn."
She complied, then gave a sharp intake of breath and swallowed a scream. He did not scream, but he wanted to.
Outside the open window was no sunlight, no cops, no kids—nothing. Nothing but a gray and formless mist, pulsing slowly as if with inchoate life. They could see nothing of the city through it, not because it was too dense but because it was—empty. No sound came out of it; no movement showed in it.
It merged with the frame of the window and began to drift inside. Randall shouted, "Roll up the window!" She tried to obey, but her hands were nerveless; he reached across her and cranked it up himself, jamming it hard into its seat.
The sunny scene was restored; through the glass they saw the patrolman, the boisterous game, and sidewalk, and the city beyond. Cynthia put a hand on his arm. "Drive on, Teddy."
God is the artist and he's erasing his work,
"The Artist created this world, after His Own fashion and using postulates which seemed well to Him. His teacher approved on the whole, but—"