In this case, at least, it's less for the reasons she may think. He takes the cigarette, briefly admires the holder, and is given pause by a scent he doesn't associate with smoking, and therefore can't quite place, but it's pungent, spicy, and puts him to wondering if smoking is a different habit on her world, too. Is that even tobacco?

To do the deed itself, he actually turns away a little bit: not enough to really conceal what he's doing as he cups his hand around the end of the cigarette, but enough to indicate that he would prefer not to be stared at, as such. He sighs out a breath and a small flame leaps up around the end of the cigarette. When he's sure it's caught, he drops his hand and quickly holds the stick and its contents out for her to take again, before the ember fails.

His eyes are wary, almost fearful as he watches for her reaction. This is not one he wants to speak aloud.