Well it was widely deemed unacceptable up until the end of the Victorian Era for a woman to be seen smoking anywhere. When Victoria's playboy son Edward became king everything changed, and it became a more common idea for women to smoke in even the best salons. In my honest opinion, the whole cigarettes and cancer link was unheard of at the time, the same with the 50's claim that smoking made you cool. In the early 1900's smoking was more of a status symbol for men, adopted by women. In OTMAA's case, I doubt they would even have realized this in regards to their near complete isolation from society. Their father did it and I'm sure they thought it was a simple and safe pastime activity, purely done for the fun of it. We know at least OTMA smoked, there are pictures to prove it. In regards to Alexandra, she was probably so stooped up on her prim Victorian morals that the thought of whipping out a cigarette in public was appalling. I mean, she even covered her toilet with a lace trimmed cover when it wasn't being used.