However, the affidavit obtained by The Associated Press said the cigar went out.
The affidavit was filed in support of a warrant to arrest 44-year-old Gary Lee Bullock last week on murder, arson, torture and other charges.
Another priest found the Rev. Eric Freed dead in the rectory on New Year's Day after he failed to appear for morning Mass at St. Bernard Catholic Church.
The body was wrapped in bedclothes dampened by liquor in another failed attempt to start a fire, the affidavit said.
Bullock has pleaded not guilty.