Check out Brennan's in the Central West End on Maryland Ave. Their upstairs bar allows smoking, typically cigars in a specific set of rooms. Call to make sure you can light up a cigar...but I recommend the place. Great "Wall of Scotch" in there too.
Actually, I would think since Wed night is the NFL opener, that you shouldn't have an issue smoking cigars anywhere upstairs. But still, call to make sure. And they are open late...so you won't have to worry about time. Plus, Union Station isn't terribly far from there either.