The actual reason is probably unrelated to the act of smoking. Smokers are different than the general population in a number of ways - Smokers are addicted to an appetite suppressant and are skinnier than the general population. Since obesity is linked to poor covid outcomes that could play a role. - I'd guess that smokers are younger on average since, grimly, they don't make it into old age as often (or they quit). Age is also linked to poor covid outcomes. - Smokers spend more time outdoors and are more likely to sit outdoors at restaurants/bars.

It's definitely an interesting statistical effect but I don't think there's any actionable information in the correlation.