Hi! Not possible, since everything is based on the real world, where if a light is shining through something with fog in it, then it will show up in that volume (in other words, Corona volumetrics are based on the media the light passes through, and are not an attribute of the light, just like in the real world).
You can of course artistically work around that by doing things such as
- Rendering twice, with the different lights enabled, and compositing in post
- Creating the media so that it is not affected by some lights (e.g. create a geometric cone or box which only certain lights will shine through)