Is it ok to smoke while on Coumadin after being diagnosed with pulmonary embolism. Just until my severe anxiety goes away (started Paxil (paroxetine) for anxiety)?

Preferably NO. Nothing good comes from smoking-particularly after pe.
Not good to smoke. Smoking is a very addictive habit. It causes changes in your body from the nicotine. This raises your blood pressure and causes spasm of your arteries. This can cause blood clots. Starting Coumadin (warfarin) means you may already be getting blood clots. Anything you can do to stop smoking will help the Coumadin (warfarin) work better. A pulmonary embolism can be deadly. Talk to your doctor about relaxation tech.
Never ok to smoke! Nothing further to comment here if you are looking for justification.