To Nanatravel...we had the same trouble with cigar smokers on the summit this spring. But the rules there were no cigars on balconies, so this got worked out. However, I've heard a few negative comments on the smoking on the MIllie, and I guess I'm a bit worried. I like to sleep with the balcony door open and,, like you say, the foul smoke is sucked right into the room.
DId you have any recourse to the problem? DId you call public relations or anyone and ask for help? I've called Celebrity on this and they said that cigar smoking was allowed anywhere on the ship in open spaces, and room balconies were part of that.