This afternoon I took the old HP-4191A apart. Yesterday in the middle of some measurements it went pop-pop-pop, loud, like firecrackers. I ran over and turned it off, upon which the popping stopped. An immense amount of light-gray smoke wafted out and it had an odd stench to it. The stench lingered for hours.
I can't find any source and upon powering it up the analyzer worked fine. That was before I changed anything. As if it had repaired itself. The only thing I could see is a crack in the plastic of the X-capacitor. Snipped the thing out, measured, has almost 0.28uF capacitance (27% more than stated) and no leakage current. There is another X-cap and two Y-caps inside a canned IEC receptacle but those can't be the culprits because that is on the line side of the power switch.
Is it possible that an X-cap self-heals to the point where you can barely see a thing, yet release a serious plume of smoke? It is a Rifa GPF-series film cap 0.22uF/250VAC with all kinds of agency logos on there.