fog horn

Grab the sound of one, and have a look in an oscilloscope.

You're looking at a filtered bassy sound, with a slight squelchy blip as it opens up (when the air is ramping up into the horn), so make good use of the filter EG. For the squelchy attack, try using a sinusoidal LFO in one-shot mode to modulate the filter cutoff.

Also whack up that Analog Boost, you want stacks of bass. Add saturation and play with the distortions to achieve an overblown character, and perhaps a narrowing of the overall frequency bandwidth.

Occasionally there are two horns, therefore two oscillators with slightly different pitches, and pointing in slightly different directions (panned).

I think a large part of the sound would be via external processing. Namely reverb before compression, to mimic the enormity and atmosphere of the sound as it echos and dissipates in its given environment after the horn stops sounding.