I have never seen northern lights in games, although it's a very nice effect
Many things you make with shaders can also be made with particles in some way and I imagine that this is one of them.
I write my thoughts down here, in the case someone else want to try it or I'll come back and try it myself when I have more time as this could be hard if done right.
So I would either tinker with a sphere as a second sky layer and something volumetric, but I never dived into that.
Or !! make a Trail out of planes with a vertex distortion shader and make some magic with a transparent pixel shader.
I would distort the vertices with perlin noise function so they snake around a bit and maybe pass it to the pixel shader so it fades away sometimes.
