The word ζόφος (zophos) is rare. It only appears 4-5 times in the New Testament (twice in 2 Peter, twice in Jude, plus in some manuscripts of Hebrews) and nowhere at all in the Septuagint.
But in Ancient Greek literature, Hesiod's Theogony (8th c. BCE) - describes Zophos as the offspring of Nyktos (Night) and Erebos (Darkness), along with Nēssos (Doom) and the Fates and Furies:
Νυκτὸς δ' Ἔρεβός τε μέγας θυγατέρες τε καὶ υἱοί,
Νῆσσος τε Κῆρες τε
καὶ Ἔρινυες ἠδὲ Ζόφος
καὶ Στύξ Ὀρκοτόμος, ἐπιείκελοι ἀθανάτοισι.
And of Nyktos and great Erebos daughters and
Nēssos and the Fates and the Furies and also Gloom
And Styx, the Oath-breaker, resembling the immortals.
The word also appears in the Illiad, where it is often simply translated as "darkness" in English.1
Hence ὁ ζόφος τοῦ σκότους (Lit. the gloom of the darkness) is almost redundant. The Greek phrase used by Peter in his second Epistle is, in fact, identical - ὁ ζόφος τοῦ σκότους - but, as you note, the KJV chooses to use mist of darkness instead of gloom of darkness here.
These are wells without water, clouds that are carried with a tempest; to whom the mist of darkness [ὁ ζόφος τοῦ σκότους] is reserved for ever (2 Peter 2:17).
Both may also have recalled something from the Book of Wisdom:
For the whole world shined with clear light, and none were hindered in their labour: Over them only was spread an heavy night, an image of
that darkness [τὸ εἴδωλον τοῦ σκότους] which should afterward receive them: but yet were they
unto themselves more grievous than the darkness (Wisdom 17:20-21).
The phrase is also similar to ἡ σκοτία ἡ ἐξωτέρα (Lit. the darkness, the outer one) that appears in Jesus' discussion with the centurion:
And I say unto you, That many shall come from the east and west, and
shall sit down with Abraham, and Isaac, and Jacob, in the kingdom of
heaven. But the children of the kingdom shall be cast out into outer
darkness: there shall be weeping and gnashing of teeth (Matthew 8:11-12).
According to John Chrysostom, ὁ ζόφος τοῦ σκότους in Jude refers to the "darkness of Hell":
For if those who worship the creation instead of the Creator are
condemned, what will be the punishment of those who are impious toward
the Creator himself? They are wandering stars, for they have no
settled course, no abiding place, no fixed point. They have chosen to
become wandering stars, and so they are punished by being cast into
the darkness of the abyss, the darkness of the demons, the darkness of
hell, where they will be tormented forever without end (Homily VII on Jude)
Origen2 and Bede3 held similar interpretations. Others thought that the darkness referred more to the darkness of ignorance, such as that brought on by the false teachers who Jude says have crept in unawares (v.4). Theophylact wrote that4
[ὁ ζόφος τοῦ σκότους] is a phrase which does not merely denote
darkness, but rather the darkness of ignorance and sin. For just as
there are various degrees of light, so also are there various degrees
of darkness. The darkness of the body is not the same as the darkness
of the soul, and the latter has many degrees, some darker than others.
Therefore, [ὁ ζόφος τοῦ σκότους] signifies the most profound and
impenetrable darkness, that is, the darkness of eternal punishment in
the age to come.
Most modern commentaries echo one or more Patristic interpretations.
1. e.g. ἔνθα κεν οἱ ζόφος ἐπὶ οὔατα πέσσεν ὀλέθρου
Πανδαρεΐδαο, εἰ μὴ Ἀπόλλων αὐτὸς ἀντίος ἦλθε; "There had darkness fallen upon the eyes of Pandarus, the darkness of death, had not Apollo himself stood before him." - Book V, Line 532 (A.T. Murray translation)
2. Commentary on the Epistle of Jude, Ch.XIII (PG 14:861)
3. Commentary on the Seven Catholic Epistles
4. Explanation of the Epistle of St. Jude