All are OK?
Have you never had one cigarette in your life?
I have never had one cigarette in my life.
I have never smoked a cigarette in my life.

Question

Answer

The first one is awkward.
The 2nd and 3rd are OK.

For the first one it should be: Have you ever had a cigarette in your life?

Answer

Have you ever had a cigarette in your life?
I have never had a cigarette before in my life.
I have never smoked a cigarette before in my life.