The cause of this phenomenon is the so-called Rayleigh scattering of Light. Where portions of light with short wavelengths (like blue light) are scattered more than long wavelengths (like red).
This effect is more noticeable when illuminated particles are very small, like all of the bad stuff
inside tobacco smoke.
These small particles with a length of 1 to 0.1 micrometers scatter the quite white sunlight so that the "blue part" of it becomes visible.
When the smoke is inhaled, these particles clump together in the lungs.
However, the particles that are created then scatter the light more or less evenly.
The smoke then looks grey again.
Have a nice day!