Smells may affect your dreams according to one very limited study. It makes sense to me. We already know that things in your environment can affect your dreams.
This study only involved women. I think it would be interesting to do a study of both men and women. As anyone who has ever been married to or otherwise cohabitated with a member of the opposite sex knows men and women have such different senses of smell, it could make you wonder if we really are from two different planets. To men some of the most heavenly scents on Earth smell like “something dead” while some far less pleasant smells – gasoline and other chemical smells – don’t seem to bother them very much. It would be interesting to compare the dreams of men and women who went to sleep smelling roses and others who went sleep smelling gasoline.