Where did the term 'holy smoke' come from? This article suggests it's a relatively recent figure of speech.
Is that likely though given the number of smoking volcanoes there will have been around the world over the last ten thousand years? Surely, wherever there was a volcano, and before volcanoes were understood, the local inhabitants would have called the volcanic smoke 'holy smoke' as every volcano would have been a god to its surrounding people. Given the inhabitants would also have been unnerved on seeing new emissions, the term would have been punctuated with exclamation marks. Surely they would have blurted something out and what could be more fitting than 'Holy smoke!!!'?
This article has explanations for the origins of holy cow, holy mackerel and holy smoke, and it suggest holy smoke refers to the smoke from burnt offerings. Smoke/smoke clouds are of course considered 'holy' due to the tabernacle tent clouds and the cloud of smoke on Mount Sinai.
I believe the original smoke of 'Holy smoke!' was the smoke from the 'holy' volcanos. It is my guess this is in fact the first ever Abrahamic (and earlier) blasphemous curse that originated as a curse (expressing shock) and one that is used today in many countries in the world, especially those with volcanoes.
See THIS LIST of Biblical verses that suggest Yahweh, the Abrahamic god, was an imaginary volcano deity.