As others have said Riverside in Jeffersonville, IN is your best place to go buy a cigar and a drink and smoke indoors. I agree with apaniagua that their prices are a touch high, but at least you can also get a drink and smoke inside. They also have some semblance of a food menu.
J.Shepherd in Louisville proper is great, but no inside smoking. At one point they had started a private club off site where you could go smoke inside, but I don't know the details on that or if they still have it.
Where are you staying? If you are on the east side of town there is a place in Simpsonville that allows inside smoking. But I have never been there, and it's about 35 mins from downtown Louisville.