I am enjoying your analogies, they are funny. Not all completely relevant though.
Most cigar bars or cigar stores that I have been in allow you to smoke your own cigar or pipe. If they are a bar, and you are buying drinks then it’s usually fine. Some may even have a “cutting” fee for your own smokes.. Like a corkage fee if you bring your own bottle of wine to a restaurant(that allows it of course, not all do)
Yes, they want you to buy there or as Don said, rent a humidor. But it is not uncommon to bring your own.
With all that said, I have never been to this new place Mark pictured, Burn, so I don’t know their rules.