It doesn't sound that hard to have a packet of, say, powdered chalk or dust (in the appropriate color) and propel it with CO2. Is there any reason it couldn't have been that simple?
Well, that's my question. It seems possible, but would that actually look like smoke? It would have to be a very fine particulate to rise and billow like smoke does. Chalk dust tends to behave differently. This stuff actually did look like smoke (albeit colored) rather than dust.
What I need to do is pay more attention when I watch the episodes -- keep an eye out for whether there could be a tube hidden under the actor's clothing and leading off-camera.