The film smoke was probably just product placement. They paid to get their wares shown on film. Seeing someone smoke on film didn't really say whether the actor himself/herself is a smoker, and Madonna has always been health conscious. Now of course the US film industry has tried to eliminate this kind of advertising, as smoke advertising is generally not allowed.
This was no product placement she was actually blowing smoke
Of course, it was an old movie. So she has either changed or she just smoked for that movie!