Dry firing can damage seals from repeated piston slamming against the end of the compression tube. It can also shatter the spring in coil spring guns. It's not recommended. In your case I suspect the piston seal is allowing a bit of your lubricant in front of it as it is no longer scraping the compression tube as well as it once did. Your power may be down a bit as well. It appears to me from the symptoms you're due for a new piston seal. You may wish to replace the spring while you're in there but it's a separate issue.
How old is the gun? Is there a chance it's still on warranty? If so Gamo might fix it. If not you may be able to buy the necessary parts from Gamo though they will probably want to ship to a licensed firearm dealer - they do that a lot. Beyond that you could try Vortek, I understand they've been getting more into Gamo parts.
Mike,My guns never used to smoke after a shot. Then once I had to shoot in 105 degree weather, full sun too, and smoke billowed out when I opened the barrel to reload.Since then I have changed over to Ultimox, a non-combustible lubricant.Get or make a spring compressor, with your GAMMO you will need it. -Yogi
Since it is brand new, I would shoot it a lot more before sending it back.