Had this toy been designed exclusively for the Japanese market then it may have come with the cygar since Japanese aren't that fussed about exposing kids to tobacco images (this is a country where smoking is far more socially acceptable than in Australia - they still have tobacco advertising on TV -- and remember that there was at least one Japanese Transformer who came with grog (which transformed into half of his weapon in robot mode!)) :D
Earlier today I saw a toy based on a character from the anime One Piece -- it had a stogie in its mouth.