Is it bad to smoke with the anti rabies shots?

Yes. The "badness" of smoking remains the same, with or without rabies shots, so one should not smoke. However, if a person was out in the wild when bit by a rabid animal, and did not get the rabies shots started until it was too late, he will likely die of rabies. In that case, having a smoke before rabies symptoms start, should not cause any additional harm.
No. Not any worse than smoking without rabies shots. There is no interactions that I know of. Rabies is almost uniformly fatal without getting the injections, so if you were exposed, get the injections. Whether you smoke or not should not make a difference as far as I know. I have had smoking patients get these injections without having any particular problems.