There are a number of cigarette butts found throughout the game. The always seem to be "Huff and Puff" brand, and are left near important events. Bigby also appears to smoke that brand. Nerrisa at some point tells you that not many smoke the brand. She seems to be leading you around all game, and it seems like one more hint towards the thing she wants you to know.
Does this have anything to do with the end of the game, where she very strongly tries to tell you something else is going on?
I know that many of these things can be speculations, but even just knowing everywhere the cigarettes of that brand appear, that are not Bigby's would help