Since the act of serving - as well as, say, a double-handed backhand stroke - involves both hands/arms, it's hard to see how one could smoke whilst doing it. Just holding the cigarette in your mouth, given how a server's body stretches, coils and uncoils, would risk setting your shirt on fire!
Smoking at Wimbledon is a non-starter, but easy-peasy while walking up the 18th fairway at St Andrews. Given that the ball is just lying there until you arrive in the latter case...and there is no prospect that it will instantly be returned once you've hit it...you just chuck the cigarette down for a fewseconds when you get there!