I have a running suspicion that he just holds a cigarette out of habit and uses it as a grounding tool, rather than to smoke. I suspect he still does occasionally, and definitely used to smoke like a chimney when he was younger, but as a Psychonaut, he's probably really good at keeping away addictions when he wants to. Since he smokes indoors so much, I think he probably uses the cigarette so that a part of his mind is always focused on moving the smoke to the vents, in the same way one focuses on their breathing while meditating.
The fact that he says that with sting meant that after the Rhombus of Ruin, Loboto doesn’t have only his moral compass but his revolt anger towards his parents.
Weirdly, Sasha has a few headgear variants. I'm not entirely clear on why or when it changes. Edit: Also regarding the prosthetic, one could argue it was either improvised (Seems like something Loboto would do), or it's just limited technology of the time (Whatever nebulous time this game takes place in).
See, Nick, even if a good planner, I don't think could manifest the level of psychic structure that he needed for his plan, but I don't think Loboto is sane enough to build it either. Don't know why, because the story feels firmly closed, but I can't shake the feeling of a third hand in the plan...
Nick isn't psychic, that's what's throwing me off of everything. There's no way someone else (someone very powerful) isn't involved. Loboto underwent forced lobotomy to get rid of his psychic powers, Nick isn't psychic, neither of them could interfere with Sasha's beginning construct. Sasha himself said someone very powerful had to have helped Loboto but who? I'm praying for a 3rd game