The nicotine in the cigar would have released dopamine and norepinephrine which would have raised his blood pressure, clamped down on his peripheral vessels, and helped staunch his bleeding. Might be why he survived.
You have to remember that John Reynolds, the much admired 1st Corps commander, had taken a bullet through the back of his head, the day before, and that his corps was, at that moment, in a tight wedge, being shot to bits from two sides at once. His corps probably needed some encouragement.
I've seen the bones of the leg, in their glass case. It was when the display was still the Museum of Military Pathology, on the grounds at Walter Reed Hospital.
The 2 inch ball hit him just below the knee, shattering both bones, and they cut it off about 2 inches above the joint. (You can see the saw marks, it was NOT a clean cut.) The display also had an ink sketch of an fat old mustached man on crutches, staring done at it. I must assume that was General Dan, visiting his leg.
I've been told that traumatic wounds, like this, do not always bleed heavily, instantly, since the vessels and surrounding muscles spasm, for a little while. It might explain why so many partial soldiers survive losing limbs.
Generals also get more and faster attention than your normal snuffie, what with aides waiting for orders, and all.