A cigar room should still have a standard HVAC intake and return like any other room in the house. When it comes time to smoke in the room you’ll need easy ways to shut these off though so you are not pulling in and exhausting your house air. The quickest way is to manually close the register levers. The more sophisticated option is to install electronic duct dampers, which I briefly discuss in the Ducting section.
In the case of manually closing the registers the seal isn’t fantastic, but pulling in a small amount of house air within reason is not a big deal. If this is a concern the electronic automated duct dampers provide a very good seal of the ducting.