Imperative in option messages?

You are not right. Næj and -æn are independent here. Нæй = Нæ ис; дымæн is possibility to дымын. Нæ ис дымæн = There is no possibility to smoke. Where is forbidden here?

„Нæ ис дымæн“ is evidently ungrammatical. The structure „...æn næj“ evidently is not independent, but it's a modal structure with its own meaning — like, say, continuous tense in English. You may read on Ossetic modality elsewhere.