The trajectory of the smoke particles would be slightly different to if there were no wind speed, they do after all have a forward momentum. However, as the smoke particles are so light, in practice, it would be very difficult to notice any difference.
However, if the wind was blowing from behind the train, that would be a different kettle of fish. To an observer travelling at the same velocity as the train, the smoke would appear to stay largely stationary relative to the train.
There, hat thrown into ring!