That ties in with a story that I heard tell where a theatre received a complaint about the smoking onstage during a production - and the cigarette was NEVER actually lit!
While I tend to agree that coughing at the sight of smoke is a psychosomatic (sp?) response, (and I've witnessed enough audiences begin to reaction long before it actually reaches them, as have many here, I wager) the fact is is that there is an increased level of particles and chemicals within the smoke (like d'oh) so there is an increased chance of a reaction occurring.
<PERSONAL> - I tend to think that theatrical smoke and fog is far safer to breathe than smog, or to those with allegies being outdoors on a high pollen count day. </PERSONAL>
IMHO, of course