from US fairground talk. I think either a shooting gallery or one of those things where you hit a platform with a mallet and a ring shoots up a pole to hit a bell. You get a cigar if you hit the target but not if you only come close.
This comes from a Las Vagas gaming machine years ago. I was a bit like a slot machine. You gen a straight row and you get a cigar. The moto if you did not was 'Close but no cigar'!
This comes from a book called 'White elephants and Red Herrings' - not sure of author.