Is "she" someone you are serious with now, just starting to date, or haven't met yet? It's easier to introduce a fetish early on in a relationship. Regardless, subscribe to Cigar Aficionado and fan the issues out on your coffee table. Let her pick one up and flip through it. When she comes across one of those hot pics of a woman smoking a cigar, casually mention how sexy you think it is.
Or buy a classy framed print of a woman smoking a cigar and hang it in your living room.
Or gateway it with a celebrity. Tell her you saw a hot pic of Sharon Stone or Madonna or Gina Gershon or whoever smoking a cigar years ago, and ever since then it got the fem/cigar smoking concept stuck in your head. It's easy for a woman to understand you being attracted to women more so than an object, so associate it that way.
Join a cigar club. Hang out in places where cigar smoking is encouraged, like ritzy casinos or Cuba.
Post an ad on Craigslist. You can find ANYTHING on there.
Or ask her to share what she thinks is sexy, and maybe you'll find out that she's really into bunny slippers and you can tell her about your thing for cigars. Then maybe you can sit around and wear bunny slippers and smoke cigars and you'll all live happily ever after.
Seriously, your fetish is a very mild cute one, not scary.