In the United States, there are no laws specifically regarding smoking shelters. Many businesses offer such shelters for their employees/visitors, but they must adhere to state laws and city ordinances regarding distances from doorways, windows and ventilation systems.
In California and Oklahoma, smoking is permitted in enclosed spaces. The American Lung Association's "State Legislated Actions on Tobacco Issues" says as long as those spaces have separate ventilation from non-smoking areas and employees are not required to enter them they are permitted. In most states, smoking is prohibited in any public place.