Bubbles filled with smoke are popular among bubble artists. They are the basis of some great tricks. You will find much discussion of them and the tools for creating them on SBF, the Soap Bubble Fanciers Yahoo Group.
Bubble smoke is typically made from glycerine or a glycerine/water/propylene glycol mix. Most smoke machines create the smoke by heating small amounts of the fluid.
The Zero Blaster from Zero Toys is commonly modified for use as a bubble tool. e-Cigarettes are also easily adapted.
See also. See the eCig article for more information about turning eCigs into fog makers.