Step 1: Understand the source.
Cigarette smoke comes from incomplete combustion of tobacco, which releases carbon monoxide, CO, into the smoker's blood.
Step 2: Recall CO's affinity for haemoglobin.
CO binds to haemoglobin about $200$ to $250$ times more strongly than oxygen does, forming carboxyhaemoglobin, $Hb + CO \rightarrow HbCO$.
Step 3: See the effect on oxygen transport.
Because CO ties up the haemoglobin, the blood carries far less oxygen than normal.
Step 4: Link to the fetus.
Reduced oxygen in the mother's blood means the developing fetus receives less oxygen, a state called hypoxia.
Step 5: Connect to premature delivery.
This oxygen shortage is what raises the risk of complications such as premature delivery in pregnant smokers.
Step 6: Choose the pollutant.
The responsible pollutant is carbon monoxide, CO, which is option 3.
\[ \boxed{CO} \]