I don't know how much a bath would help with odor. Many people have reported that the smell doesn't go away completely from a bath.
I think you can get the same results without a bath. You can pull out the lining and wash that with soap and water. I'm not sure how deep the dye goes through the leather and the leather might lose some color in a bath. You can wipe it with alcohol; some people have used vanilla vodka with good results. You can leave it outside on your patio, out of the sun, for a week. I've gotten the best results by surrounding the bag with bath salts in a sealed plastic bag for a week or two. Others have used activated charcoal, like the kind for aquariums, or baking soda.
Thanks. I never thought of bath salts. I've removed smoke odor by filling the purse with dryer sheets and leaving it shut for about a year but I hate to wait that long. I will try the bath salts.