One option to have when training this client is to take him for walks outdoors. Actually walking or exercising outdoors might help with his breathing and it could be less stressful for him as well. Use your initial assessment to determine his level of fitness and the type of program he will need to follow. In time he will realize that smoking will become an issue/obstacle for him, especially if he wants to improve his endurance and aerobic capacity. It could be the perfect reason for him to quit smoking :-)!