In the BGE world, people do that --- small lump charcoal fire in a coffee can in the bottom of the egg. If it gets too hot, they'll put ice in a drip pan.
Some folks smoke cheese by punching a hole in the side of a coke can with the top removed, sticking a 10 to 25 watt soldering iron in the side, and loading the can up with wood chips, and putting *that* in the bottom of their BGE. I guess this is really sort of building a cold smoke generator though...
Don't know why this stuff would not work with a UDS.
Don