A thread worth reviving.
The word cigar came into English (and most other European languages) from Spanish. I don't really think it's possible to say which one Chinese got it from, based just on phonetics. Carol Benedict's book on tobacco in China, Golden-Silk Smoke, notes that "Filipino tobacco leaf and hand-rolled tobacco products began to flow to markets in Australia, California, Singapore, Hong Kong, and Southern China" in the 1820s and 30s (page 134), so Spanish is a real possibility.
Benedict doesn't have much to say about Chinese words for tobacco products. The phrase 雪茄煙 does appear in the late Qing novel 二十年目睹之怪現狀. This was serialized sometime between 1903 and 1908 ( don't have the exact dates here), and published in book form in 1909.
The claim that Xu Zhimo (1897-1931) invented the word 雪茄 is thus obviously impossible (he was precocious yes, but not that precocious). I'm sure it goes back well into the 19th cent. It seems to me that both Yue and Wu dialects could easily have produced the form 雪茄 as a transcription of cigar; I would be interested to know if anyone can think of a reason that would exclude one or the other.