Those holes are brake cooling ducts. If you put the fog lights in, you will be blocking the airflow to the front brakes. Otherwise, if you really want to, you probably could find some fog lights to fit in there.
I personally would have no desire to do such a mod, because the C-class already has fog lights. I don't like the look of driving around with the fog lights on all the time.
Form before function. The purpose of fog lights is to provide a wide beam of light that does not shine forward too far and reflect off fog, they do not provide any actual lighting benefit for normal driving. In fact, my belief would be that they would hinder your vision down the road, because if the road immediately in front of you is very brightly lit, then your eyes will not properly adjust to the darkness outside, and since your eyes are adjusted to the bright light immediately in front of your car, they will be able to see less farther down the road where there is less light on the road. Also your brakes are going to run warmer.
Just my opinion