The first Cigarette Card you can find is at the start of Chapter 3 - Objective: Join Paulie – at the very start of the chapter, in Salieri’s Bar on a table (in the restaurant section).
Note - This collectible can be missed, and is not available during Free-Roam like most other collectibles in the game (a few others are also missable).
I suggest using the following guide to find all collectibles -
https://www.powerpyx.com/mafia-1-remake-definitive-edition-c...