Since Hellsing is set in England, there're of course some vague references to real-life things in the series. But as is common in other anime and manga, the references are either subtle or have been slightly changed.

Integra is frequently seen smoking or chewing on small cigars. The brand she smokes is Hendi Winzermans Small Cigars; she purchases them in tin containers of 10 cigars.

The cigars are a parody of an actual cigar brand, Henri Wintermans Small Cigars. The cigars are made in Holland, and they can be purchased in tins of ten or twenty. The Small Cigars are sold in the United Kingdom, France, Australia, New Zealand, Norway, Channel Islands, Greece, Portugal, Middle East, Africa, Other Far East, C.I.S, and the Netherlands. The official Henri Wintermans website describes them as: "An elegant small cigar with a natural, round shape. It is full-flavoured and double aged for a smoother delivery. Small Cigars can be enjoyed with coffee or at any relaxing moment in the day."

Hendi Winzermans Small Cigars Henri Wintermans Small Cigars

There are endless possibilities for why Integra smokes so much - to help deal with stress, to help her relax, to help her think, because she simply likes to, because she thinks it may help her 'image,' whatever. I'm inclined to think she does it to calm down, but that's obviously debatable as there's no explicitly stated reason.