Can you sand drywall to get rid of cigarette smoke?
Trying to sand off paint from drywall just isn't something that's feasible.  Your best bet is to use a shellac based primer or other primer made specifically to block odors.  A primer that I'm familiar with and have used with good results is Zinsser BIN primer.  I'm sure other manufactures make similar products.

The shellac base means the primer dries super fast (like 15-20 minutes), and because of that, you should plan on treating any brushes or rollers you use as disposable.  Cleaning is difficult and pretty hard to do correctly.

I've used it to seal in smoke smells on a ceiling and even an area on a floor and wall where an animal died.