Delhi, a tropical Indian megacity, experiences one of the most severe air pollution in the world, linked with diverse anthropogenic and biomass burning emissions. First phase of COVID-19 lockdown in India, implemented during 25 March to 14 April 2020 resulted in a dramatic near-zeroing of various activities (e.g. traffic, industries, constructions), except the "essential services". Here, we analysed variations in the fine particulate matter (PM2.5) over the Delhi-National Capital Region. Measurements revealed large reductions (by 40-70%) in PM2.5 during the first week of lockdown (25-31 March 2020) as compared to the pre-lockdown conditions. However, O3 pollution remained high during the lockdown due to non-linear chemistry and dynamics under low aerosol loading. Notably, events of enhanced PM2.5 levels (300-400 µg m-3) were observed during night and early morning hours in the first week of April after air temperatures fell close to the dew-point (~ 15-17 °C). A haze formation mechanism is suggested through uplifting of fine particles, which is reinforced by condensation of moisture following the sunrise. The study highlights a highly complex interplay between the baseline pollution and meteorology leading to counter intuitive enhancements in pollution, besides an overall improvement in air quality during the COVID-19 lockdown in this part of the world.