Smokey is a proper noun and first name, whereas smoky is an adjective referring to an object being filled with or smelling of smoke.
Until recently smokey was an accepted spelling of smoky in the Oxford English Dictionary. However, it is now thought of as old-fashioned.
Elsewhere, the choice ran from interesting daily specials, such as lamb kofta, to tasty, fashionable sandwiches, such as a New York deli-style pastrami, or the Smokey Jo – smoked pork, smoked cheese, coleslaw. [Guardian]
The living symbol of Smokey Bear was an American black bear cub that was trapped in the 1950 Capitan Gap fire that burned 17,000 acres in the Lincoln National Forest in the Capitan Mountains of New Mexico. [Concord Monitor]
“Your photos are a breath of fresh air, even if it’s smoky when you’re stuck in the middle of martial law, a military coup and a lockdown by the Thai army in Bangkok,” writes one expat. [Australian]