I don't see why you should not be able to leave early. You just moved in and the apartment is not suitable due to the cigarette smell and if you had known (windows were closed during the viewing), you would not have taken the apartment on.

Does anyone know if there is such thing as a cooling off period on rentals? No doubt the Mieterverband will know.

I wouldn't delay, though, in writing to the LL and complaining about the unsuitable living condition of the apartment. Also inform the LL you are talking to the Mieterverband. Rather than have any hassle, the LL might just agree to let you leave.