It's hard to interpret long-range, high-zoom photography of horizons. For photography away from horizons, you can usually make the assumption that the air column is not very thick and that light travels in straight lines. However, looking along the horizon, you are looking through a maximum-density column of air which probably has temperature and density variations nearly parallel to your line of sight. Weird stuff happens.
For instance, the Fata Morgana mirage can interpose an image of the sky between the image of nearer ground/sea and the image of a more distant tall object:
By Timpaananen - Own work, CC BY-SA 3.0
That seems to me the most likely explanation for the sky-colored feature labeled "Gulf of Baja" in your linked video:
from your video link, 2:06
Identifying which mountain peaks are visible in the photo would be an interesting project, but would require substantially more information about the location and direction of the filming than is given, and would also require more information about the topography of Texas (and possibly northern Mexico) than I have off the top of my head. I have seen this done with Google Earth and other landmarks. Central Texas is flat, but southwestern Texas is in the northern end of the Sierra Madre Oriental mountain range.
Some features that should appear in the foreground, along the claimed line of sight, are the mountains around Fort Davis and the mountains on either side of the Rio Grande; the distance from the claimed location to the Rio Grande is consistent with the video's computed horizon distance of about 230 miles.
In addition to mirages adding layers of fake sky under your distant mountaintops, it is possible to see around Earth's curvature thanks to atmospheric refraction. For a sense of how tough that is, consider this series of photos from a Mediterranean sunset in Marseilles by Alain Origné,
where the irregular feature at the bottom is not a cloud but is the top of of the Pyrenees
visible around Earth's curve,
I don't have enough French to get much from Origné's web pages, but there are two nice English-language blurbs at Atmospheric Optics.
There's a lot of mirage effect in this sunset photo, including the green flash above the sun and a little hint of Fata Morgana appearing as a horizontal line of sunlight below the mountain peaks. The distance here is 170 miles.