The expression probably was first used in plumbing in referring to tests for the detection of cracks, leaks or breaks in closed systems of pipes.[1] Pre-dating the term itself, smoke tests were performed to detect leaks in wooden sailing vessels at least as early as 1836. After making a slow fire in the bottom of the hold, Richard Henry Dana writes, "Wherever smoke was seen coming out we calked and pasted and, so far as we could, make the ship smoke tight." - https://en.wikipedia.org/wiki/Smoke_testing_(mechanical)

( I used to moderate a s/w testing forum and one of the most common questions was "what is the difference between smoke and sanity testing" as this seemed to be used as an interview question...)