Smoke Ghosts
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Smoke Ghosts is a curious phenomenon not to be confused with ectoplasm or ‘mist’ phenomena, smoke ghosts are said to be ghost forms which give the appearance of smoke and are often accompanied by the pungent smell of burning wood. These ghostly columns of smoke are said to move of their own accord while maintaining a disciplined column shape, though it may assume other similar forms, before dissipating in a manner that is alleged to be completely different from smoke drifting in the wind.
Smoke ghosts have been reported in both Europe and the United States for many years. A famous story is that of a girl in the United States who was burned to death during the seventeenth century and her ghostly presence has ever since been recognized by the pungent odour of burning wood. In 1954 a sentry at the Tower of London reported a smoke cloud that moved on its own, changed shape and did not seem to diffuse or drift like ordinary smoke. When the man tried to follow the smoke it disappeared instantly.
SOURCE:
The Element Encyclopedia of Ghosts and Hauntings: The Complete A–Z for the Entire Magical World: The Ultimate A-Z of Spirits, Mysteries and the Paranormal by Theresa Cheung