Little update: With a Quad and a shader I could do an effect similar to the 2nd screenshot. However the quad have to always face the camera the same way and always be at the same place relative to the camera. And in that regard, it's not different than drawing a 2d sprite on the HUD. Example (it looks like a simple 2d triangle):
My problem is that I try to create a volumetric object with alpha from solid meshes. I feel like I'm searching in the wrong direction.