I am told by friends in Europe that birds using cigarette filters in nests is seen there also. I suspect this is just natural selection at work, that such behaviour has some reproductive/fledgling survival advantage and can be transmitted to descendants (not necessarily genetically, but perhaps through teaching/learning across generations), and further, the benefits of that behaviour outweighs the bad effects of nicotine on birds.
Some species line their nests by picking down out of their own breasts. That sounds painful, so i suspect finding something soft to form part of the lining might attract. Not to mention the bug killing properties.
Now that i think about it, i don't know what the exact effects of nicotine on avian physiology and growth are. I know it is very strong poison for most forms of animal life, but whether it stimulates or suppresses hunger or is addictive in birds as in humans i do not know. Time to walk down the block to the vet one of these days.
Parrots of my acquaintance seemed neutral around cigarette and pipe and marijuana smoke.
sidd