Moving along . . . .
The reason this event isn't behaving like smoke is because, well, it's not smoke. Either your accounting of these events is based on legitimately observed phenomenon, or this is a perceptual anomaly caused by some outside influence.
If it were just you who had witnessed these happenings I could suggest you might have experienced a retinal migraine, which produces visual disruptions that could be perceived in this way. But at least one other person, who was unfamiliar with the story and therefor assumed unbiased, also experienced a similar event.
That leaves us with limited possibilities. Either something in the environment is effecting people in your home, or this is really happening. If EM fields are nominal and other environmental concerns, such as gas leaks or carbon monoxide levels, as Replikor suggested, are not present, then we're spreading our options kind of thin in the rational explanations department.
The stories your grandmother conveyed are very typical in situations of claimed paranormal activity. The fact that this was a recurrent thing for her adds some weight to your smoke. Which in and of itself is also a more common occurrence with reported activity, evidenced by how the term "shadow people" became a buzzword among paranormal circles.
All in all, I would like to again say that this is relatively benign activity at this point. And even if all rational explanations fail to meet their burden of proof, I would not encourage becoming unduly concerned over this.
How you move forward, if you even choose to do so, will be decided based a host of variables, most prominently among those likely being spiritual beliefs if any are present. But allow me to offer this general advice based on some experience - if you don't want to deal with this, leave it alone. Check for real world explanations, and if they don't pan out, and you're not ready for this, don't encourage it. If you can't accept the paranormal and aren't ready to find your equilibrium with it, you very well might not like what you find.
Should you decide to bring an outside party in to evaluate these events, please use due diligence in selecting a group with a positive history. To put it bluntly, due to all these ridiculous ghost hunting shows these days, there has been a massive influx of weekend ghost hunters who don't have the first idea what they're doing. Some of these individuals are anything but professional and will likely just end up causing grief in the end.
With that said, this is getting rather long so I'm gonna wrap it up. Should you have any questions or have addition details feel free to present them.