I do recall it and re-reading it, but I don't think that it was meant literally. Rather that she felt like she was. I think it was after the goodbye scene with her mother and she was feeling especially connected to Sir Claude who was now "free" and they could go to Paris. I think she is also feeling free and a step more grown-up. So really he's smoking but she's his companion so that was what it meant by "they" smoked. Like she is feeling at one with him in the moment is how I interpreted it.
I finished the book this week and am glad we read it. I will post more over the weekend.
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