I question if it matters, your fly tying material all ready smells of something that isn't in the fish's food chain.... the dead animal it came from, the cleaning/tanning agents used, the dye, the hands of those that put it into the bag and the bag. A little smoke.... who knows. I wouldn't smoke while tying but aside from smoking in your house, i personally wouldn't be concerned. Plus there were a lot of anglers smoking and tying thru the 1920-1980s.
I guess someone who is a smoker will have to run a test.