As others have said, you can try microwaving them.
The other culprit is likely air flow. Either up to your smoker or into your mailbox.
If the smoke you generate does make it's way to your smoker, it may be that the pellets themselves aren't getting enough air to burn?
On calm days with no breeze, or in high humidity, I place a small fan outside of the front of the mailbox. I set the fan up so that it so that it is not blowing directly into front hole, but rather at a 45 degree angle.
It works like a charm!
You don't want too much blowing in there or it will flame up the pellets and they will burn quickly with very little smoke.
Just play around with it.
You may also consider drilling a few small holes in bottom of mailbox?
Mine already has a few holes in bottom for screws or bolts .
Others are set up for side-mount brackets and have no holes underneath.