An excuse not to give your last cigarette away.
Your "lucky" is a cigarette that you turn upside-down first before smoking any others in the pack, and is intended to be the last cigarette of the pack that you smoke.
This is only one of many possible reasons behind the lucky cigarette.
Thing 1: "Hey man, can I bum a smoke?"
Thing 2: "Sorry...I've only got my lucky cigarette."