I agree with Duwop about not wasting your wine on wood chips or in a water
pan.

I think you may be confusing the term "smoking" with "grilling." Most of us
grill veggies, but not many smoke them, other than jalapenos or other
peppers to make chipotle.
You can grill just about anything. Tomatoes, asparagus, squash,
cauliflower, broccoli, eggplant and fruits, too. Pineapples, bananas...just
about anything.
With the veggies, either marinate them or just coat with olive oil/S&P and
grill until done. Doesn't take much time and the biggest challenge is
keeping them from falling through the grill. Buy a grill wok and that'll
make it much easier.
Experiment - there's no right and wrong, just what tastes good.

Jack Curry