Dear Faisal Bhai,
no its normal if its smoke, i have two altos 2001 and 2006, 2001 43K driven, 2006 72K driven both through out on CNG and twice/thrice a week on petrol. both emits steam when start cold but not smoke, keeping in view the facts you have mentioned like no oil loss etc etc, it must be the smoke of valve seals in head which emits when cold and get normal once it attains temperature cuz if its ring smoke than it should increase more when your car gets on half temperature etc, secondly have you changed your oil brand after installing CNG? like on petrol you were using different and when you installed CNG, on the advice of fool oil dealer you changed the brand? Third, most probably now its the time when your rings have started loosing and by the passage of time it will increase resulting in decrease in oil in the engine. Fourth, there can be a possibility that your head was use to of petrol and now since you are using it on dry fuel the valve seats/guides have pressed resulting in leakage of oil from the valve seals inside the head.
By the way, when did you had your tappets adjusted last time?