A friend of mine had a tube running up through the grip of the gun (where the clip would go), then into the chamber. As he blew smoke through the tube, it would exit the barrel and go DOWNWARD, so I had him flip the gun upside down. I then corrected it by rotating the image 180 degrees in photoshop.
The white light comes from a flash in a 20"x20" softbox, while the blue light comes from an optical slave flash with a blue gel over it.
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I guess this works, figuratively, but actually, the smoking gun expression means exactly that. I think it would have been funny to see the gun with a cigarette in its barrell, smoking.