On US W126s, there's a dead socket on the inboard end of both tail light housings that corresponds to the inboard end of the tail light lenses. The rear fog light bulb goes in one of those sockets; left for LHD cars, right for RHD cars... or maybe that's LHD and RHD roads.
US headlight switches have two pull positions so the wiring might be in place as well. There is no bulb behind the orange dot on a US W126 headlight switch so it's not going to light. I don't know if there's a socket for a bulb.
Mike, is it legal to drive in the US with a rear fog light? It bugs the heck out of me when I see a Volvo, BMW or Jag with the rear fog light on.