As far as whether or not you could buy that kind of thing, I can't be certain but I believe in 1998 when this story was set, you could still buy cigars in our gift shop for the fathers to pass out to visitors, although you couldn't smoke in the rooms. Even today, you can buy cheap cigars like Scully purchased in any grocery store in California, along with cigarettes. They're locked up in a case. I don't know about the Washington DC area, of course.

My take on why Scully buys it is that she wants a prop. She's rehearsed this part because she had to in order to get through it. She needed an opening line and hit on the traditional cigar as a way of doing it. It's just a device, a way of getting through the speech. I can even picture her stopping off at the market to get one, steeling herself for the conversation ahead. It's not meant to be funny. And I can't picture Mulder giving one to her under any circumstances. "Congratulations, Scully, you're a father?" How would that work?