Symbolism, Imagery, Allegory
When both Miguel Páramo and Juan Preciado die, they don't immediately realize that they've kicked the bucket. What they do notice is that they can't see anything anymore.
Miguel says, "I know that I jumped it, and then kept on riding. But like I told you, everything was smoke, smoke, smoke" (11.19). This is the clue for Eduviges, who knows—somehow—that he must be dead if all he sees is smoke.
This clue then helps the reader to realize that, later in the novel, Juan Preciado has died, when he says, "I have a memory of having seen something like foamy clouds swirling above my head, and then being washed by the foam and sinking into the thick clouds. That was the last thing I saw" (35.6).
But why does smoke mark the start of eternity, exactly? Well, remember back to those childhood games of checkers and you'll recall that, "smoke comes before fire." It's fitting that the introduction to a fiery hellish eternity (we're really hoping that Miguel is plagued by some evil pitchfork-wielding demons) is a puff of smoke.
It's also fitting that the marker of death in this novel full of muddy morality and lack of redemption is smoke rather than the uplifting bright light. Death is often characterized by the obliteration of sight (you're losing all your senses when you die, right?), but it's usually portrayed as "moving toward a bright light," suggesting a tidy, all-loose-ends-wrapped-up sort of heaven.
Not so in Pedro Páramo. In a novel where everyone exists in a moral gray area, it's only fitting that the introduction to the afterlife comes in the form of choking gray smoke.