I just today installed the game again and can unfortunately confirm that the action of immersively smoking cigarettes that you have in your inventory is lacking on GOG.
I have just contacted the developer via this page and requested kindly that it should be added to GOG as well:
https://colepowered.com/contact/ The explanation given in the patch notes
on that other platform for those curious was:
- New: Smokable cigarettes and cigars! (Steam version only - due to age rating restrictions) ___________________________________
Edited 3 minutes later: Fixed typo.