Whisky is a broader world than bourbon, and the single most useful question is whether it is peated. That one fact changes the pairing more than anything else, so sort it out first.
Unpeated scotch, which covers most Speyside and Highland bottles, tends toward honey, dried fruit, malt, and a gentle oak. It is often a touch more refined and less overtly sweet than bourbon. A medium-full cigar with some sweetness and spice meets it nicely, and a Habano-wrapped smoke with its cedar and pepper is a natural partner. You are rhyming the malt's warmth with the cigar's body and letting the spice add interest.
Peated scotch, the smoky Islay style, is a different animal. That campfire, iodine, briny smoke is intense, so the cardinal rule applies hard: you need a full, assertive cigar or the whisky will simply erase it. Here contrast does a lot of work. A rich, sweet, full maduro against all that dry smoke is a classic push and pull, the sweetness of the cigar softening the peat and the peat cutting the cigar's richness. It is a bold pairing and not for a quiet afternoon, but when the weights match it is one of the most memorable combinations in the hobby.
For whiskey more generally, rye included, the same logic holds. Rye runs drier and spicier than bourbon, so a peppery, spice-forward cigar in the medium-full range rhymes with it well. Whatever the bottle, set the cigar's strength to the whisky's intensity first, then decide whether you want the flavors to agree or argue.