Sorry, I am having difficulty replicating this in a map of sane size for posting an example. If I manage, I will but, just in case there is enough here to go on...
Sometimes, in some places, HUD models can look wrong - all one colour like they are in stencil mode.

It should look like...

There is a dynamic light nearby (like the streetlamp in the image) and moving away from it cancels the effect. This is the only location that I have noticed the effect. Standing next to a light does not reliably cause the problem. Interestingly, disabling dynamic lights does not fix the problem but using a map editor to delete the item with the light attached does.
It is also worth noting that the entire area is using coloured lighting (coloured with Sector_SetColor in a script). However, removing this does not fix the problem.
I have gone through the various OpenGL options and the only ones that seem to affect this are sector lighting mode and fog mode. I suspect that fog mode is the critical one. The effect only happens when fog mode is set to radial. The other modes look fine (which is how I got the good screenshot).
I mentioned that sector lighting mode makes a difference, but it's an odd one. Most of the modes do not seem to make a difference but if the mode is set to "Legacy" then the effect is still there but it is not as severe.

I'm going to guess that Legacy mode does something slightly different with fog compared to the other modes.
HUD sprites are not affected and I have not been able to get an "in world" map object model to show the effect either. I don't know if this is simply because I haven't managed to get one in the critical location or because it only affects HUD models.