Yes, but not in the way you think
In some linguistic notes (circa 1967) about the elvish root
√PHAN "cover, screen, veil", Tolkien digresses a little bit to discuss how the Valar and Maiar appeared when not adopting a physical raiment. He says that Maiar had recognizable smells even when invisible.
In QUENYA, owing to close relations of the Eldar in Valinor with the Valar. and other lesser spirits of their order, fana developed a special sense. It was applied to the visible bodily forms adopted by these spirits, when they took up their abode on Earth, as the normal "raiment" of their otherwise invisible being. In these fanar they were seen and known by the Eldar, to whom glimpses of other and more awe-inspiring manifestations were seldom given. But the Elves of Valinor asserted that unclad and unveiled the Valar were perceived by some among them as lights (of different hues) which their eyes could not tolerate; whereas the Maiar were usually invisible unclad, but their presence was revealed by their fragrance.†
†This applied only to those uncorrupted. Melkor, they said, was invisible, and his presence was revealed only by great dread and by a darkness that dimmed or blotted out the light and hues of all things near him. The Maiar corrupted by him stank. For this reason neither he nor any of the evil Maiar ever approached one of the Eldar that they wished to persuade or deceive except clad in their fanar. These they could still make to appear beautiful to Elvish eyes, if they wished - until after the great treachery of Melkor and the destruction of the Trees. After that Melkor (Morgoth) and his servants were perceived as forms of evil and enemies undisguised.
Parma Eldlamberon #17, page 175
These notes were placed in a cardboard folder which Tolkien labeled "PHAN, MBAR, BAL and other Elvish etymologies". Along with other such linguistic notes, these were edited by Christopher Gilson and published in 2007 in Parma Eldlamberon #17, to accompany the publication of Tolkien's unfinished "Words, Phrases, and Passages in Various Tongues in The Lord of the Rings".