Interesting - the parking lights may appear to go out with the fog lights on, but maybe the fog lights are just providing an easier path to ground of that current.
Without access to a set of schematics, its hard to know what's happening - try pulling relevant fuses as a first cut at diagnosis?
"everything turned off" - this includes the car ignition?
Does it normally keep the lights on for a period of time after you lock it?
If so, does that feature still work as expected"

Does the battery run down if the parking lights appear to be off?
(ex: over night, or over a weekend?)

Jay Maechtlen
http://www.laserpubs.com/techcomm