My vicar's cigar? (4,5)
I believe the answer is:
holy smoke
'my' is the definition.
(both are expressions of surprise)
I don't understand the remainder of the clue.
(Other definitions for holy smoke that I've seen before include "I'm surprised" , "The product of burning incense - gosh!" , "Good grief!" , "Mild oath (product of a censer?)" , "What emerges at the choosing of a Pope?" .)