The smoking is his choice.
But... I can see exactly where you are coming from on the 'little white lies' - and I would have a talk with him and try and nip this in the bud pronto.
The key is in your last sentence - 'if he lies about this what else is he prepared to lie about?'
Lies are lies. I don't mean about birthday parties and keeping someone else's confidences etc. - let's be honest, he lied because he didn't want you to know/be angry/pull him up on all the very valid reasons why (I presume) you jointly agreed that stopping smoking was a really good thing for him to do. So he lied so he could carry on doing what he wanted to do. It's weak and dishonest, not kind and considerate! - and it undermines relationships.
So you could sit down with him and say, right, it is ultimately your choice to smoke. It's also ultimately your choice to lie to me about it, and anything else. But be warned. If you get into the habit of using little white lies to be able to do what you want to do, then before long the trust is going to disappear from our marriage. What will probably take its place is resentment, snide remarks, lack of respect. Is that what you want? Because if it's not, then a far better way to do things you want to do, like carry on smoking, is to come to me and say so, and be prepared to discuss it and defend it, rather than go behind my back like a coward. And that applies to everything, not just smoking.
But it cuts both ways. So if, for example, you have laid down the law about smoking and guilted him into stopping, then you can reasonably expect that this is the approach he's going to take for a quiet life. As in, if he knows that when he approaches you to say 'I'm sorry, I'm not ready to quit smoking', you will react with hysteria/threats etc., then it's unlikely that he's going to want to be honest with you. However, if you are prepared to say 'Well I'm disappointed and unhappy but it is your decision', then you've got a better chance of doing away with the white lies. And that also applies to everything.
It's worth having that discussion.
The one sticking point with this particular issue is the money, though. That's joint, and you have a baby on the way, and smoking is one of the worst, least defensible, most selfish ways to waste it away from the family. But you need to talk about that, and be prepared to offer strong support in him giving up.