I've also wondered this too. So one time I asked my friend who normally doesn't smoke unless she is drinking and then she smokes a lot. She says that the alcohol makes her feel light headed and smoking a cigarette while drinking makes her feel good. She claims it adds to the effects from the alcohol and seems to go well together. Also when she drinks she claims that she craves a cigarette and needs this to make her feel complete.
I do believe this is the same with many people because I know a lot of people who never smoke unless they are drinking. I think the nicotine in the cigarette adds to the high or feeling a person gets when they drink. For some reason, they crave this when drinking and it is just a chemical reaction in the body that mixes with the alcohol that makes a person want a cigarette.