This happens right after the bar scene with Lucy and Jenna. After Matt and his fiance Wendy walk off. Jenna and her boyfriend are about to leave when Jenna turns around to ask Lucy something. Lucy has been smoking a cigarette and when she stops to talk to Jenna, she puts the lit burning cigarette in her handbag.
It's clearly shown that she didn't light it. She didn't pull out a lighter in the entire scene and there was no smoke coming off the end. It's a simple mistake to make if you don't watch closely.
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