His affinity had been fire and with fire came smoke. He had become used to smoke over the years of practicing his alchemy.
The alchemy that he had became a weapon once he joined the military. He became a tool and he really couldn't had put up a fight if he wanted to because, he had a feeling the fight wouldn't help him escape obeying orders he shouldn't have to do for mortal reasons.
The only way to not follow orders was to have a higher rank and that was what Roy had planned to accomplish with the smoke billowing behind him.