Maybe it's because I'm not normally around gluttonous fat Baptists 😄 but I don't hear much religious commentary on smoking. I know that it exists of course; evangelicals seem particularly strongly opposed to smoking. For those with that problem however, I'd suggest Roman Catholicism. I was raised Catholic, and you can dance, drink, gamble, eat, and smoke all you like and still be a good Catholic. Birth control is also acceptable on a technicality; just don't have an abortion and you're good to go. 😉
Seriously though, when people are closeted and scared to come out, the real reason is all in their own heads. It's not really about what others will think; it's what they imagine others will think, and their fear that they won't be liked by everyone--which will of course be true whether they smoke or not.
Closet smokers' primary affliction is the irrational need to be seen as perfect--and often not merely perfect, but superior to everyone else, when of course they are not because no one really is. They even cringe at the thought that people who like and love them will think something like "Jane is so nice--it's just a shame that she smokes." Which is hard to argue against because some people will think or say things like that--though if the person is really liked, it'll be said with love rather than judgment (which I'd argue is misguided even then). Because in the end everyone is imperfect--most of us very much so. There will always be that something that people can mention as "a shame"--"it's just a shame she's overweight/doesn't exercise/worries so much/has such a temper/is obsessed with cleaning/etc."
What closet smokers have to get over is the idea that they can be perfect, or ever even be seen as perfect--because the truth is, the harder they try to exert control over other people's perceptions of them, the more THAT flaw comes to define (and damage) their lives. How many closet smokers, in an attempt to appear to be a "perfect" nonsmoker, end up seeming to be cold, judgmental, emotionally uninvolved, distant, distracted, unreliable, or worse??