This impressive effect has several stages and reason:
Once she throws the water into the air, she hugely increases the surface area because the body of the water becomes lots of small droplets.
Because the water was close to getting vaporized, the large surface of these droplets will be quickly turned to vapor. A low humidity of the air makes this process even more efficient.
The remaining much smaller droplets are much more quickly turned into ice crystals because they have a much higher surface/volume ratio.
The fog that is falling down is made of small pieces of ice - it's a kind of snow.
If you like unusual effects with water phases, you may also try supercooling. When you open a bottle of Coke taken from the fridge at the right sub-freezing temperature, which was however still liquid, it may fully crystallize within 20 seconds. That's because the suddenly lowered pressure increases the freezing point, so you're suddenly beneath it.