New guns come coated with protective material that needs to be removed, before you shoot the gun.
However... (see below)
Did you notice whether the gun was accurate, or whether the gun's accuracy seemed to deteriorate while you were shooting it? Inaccuracy would indicate leading, and progressive inaccuracy would indicate a leading build-up.
This may also be the source of the smoke and smell, although I would not ordinarily suspect CCI cartridges to have been mis-loaded or otherwise badly manufactured. CCI has a good reputation. Maybe the "smoke" was atomized lead, spraying out of the gun's muzzle. This would certainly smell wrong.
I am suspicious of "bargains" purchased at gun shows.
Maybe the gun's barrel is defective, or it had been internally rust-pitted due to poor storage.
I suggest carefully and completely cleaning the gun's bore, using lots of elbow grease, and also using up a couple of bronze bore brushes in the process. In short, "get the lead out." Get it all out, all the way down to bare steel.
Then dry the bore thoroughly, and, using some sort of light source from one end, examine the bore carefully from the other end. Light source: mirror, acrylic-plastic light pipe, even a slip of bright white paper as a reflector. Not the direct light of a bright flashlight: you'll ruin your eye.
Look for anything that does not seem to be mirror-smooth and bright. It could be roughness, bad polishing, or even a ring (uniform bulge) in the barrel where someone shot a bullet through another bullet that had gotten stuck. (I suspect a barrel ring, because that would most definitely start the leading process.)
See what you can find.
I assume that you can buy a replacement barrel, if you have to.
But it won't be a bargain then.