It is basically to do with the connection between the red blood cells and their function to transport oxygen round the body. If you are anaemic this function is compromised and that is why you get breathless and tired if you are anaemic.
If you smoke, you take in carbon monoxide, which is taken up by the red blood cells and takes up the room that would normally be there for the oxygen, so the effect of the anaemia is multiplied.
I have really, really simplified this, as I am cooking dinner ATM, and rushing. I am sure somebody more knowledgeable than me could explain it at length, but, hope that makes sense.