CNTs aren't graphine, and I'm not sure that graphine can be easily made into tubes, but it still should give some pause for thought.
Also worth bearing in mind is that, I believe, wherever you make one form of carbon you'll probably end up making other forms too, e.g. buckyballs (C60) and carbon nanotubes have both been found in soot. So even if graphene is safe, I have no idea if this process will produce other potentially unsafe things too. A friend is actually working on looking at the effect carbon nanotubes have on lung epithelial cells, so I know there's interest there.
That said, I imagine you'd find all these products in a standard wood fire too, but then I recall reading that smoke from wood fires is as bad or worse for you as cigarette smoke so perhaps that's little comfort...
Note: I am not a doctor and not an expert in this field either.