You wouldn't be the first monthly subscription club for cigars. But that doesn't necessarily mean you couldn't acquire customers. I doubt every cigar aficionado who might sign up already HAS signed up.

Personally, I don't smoke cigars. But I own some domain names in the very niche you're considering. I used to pass by several fine cigar shops when I lived in Charleston, SC. So if you want to do reconnaissance, that would be a good town to form partnerships. Lots of tourists passing through, buying cigars – people who might subscribe to such a club.