It's definitely a Southern thing. The book "A Southern Belle Primer or Why Princess Margaret will never be a Kappa Kappa Gamma" explains it all.
While at an event in Texas, she walked across the floor with a cigarette in her hand. A very unladylike gesture and everyone was aghast. I would like to point out that it happened in the 60's but many people still believe it.
Eclipse, thanks for the information. I always wondered about that.