My train of thought is this:
1) If it was a cigarette gun made for the Black Market, why would they go to the extent of doing engraving on it? I would think that they would try to turn them out as soon as they could to get rid of them and not spend the extra hours fancying it up.
2) If it was made in the USA by a Euro gunsmith, why would they not build an American pattern/style of firearm? Was some immigrant from Germany or wherever sitting in his little shop each night and building a gun from the old country? Where would he source all the parts to do it and why would he bother when all around him is an abundance of American manufactured firearms if he wanted to one to use?
I believe it was a gun that may have been started as a custom job for a customer. Possibly from Germany or Austria (Mannlicher style stock, and double set triggers, rear sight style, etc) and not being totally completed. After all they were doing it everyday for years in factories that turned out W.W Greeners, L.C. Smiths, Parkers, Holland and Holland, Winchester, Marlin etc. I believe it could be a strong possibility.