My only thought would be the exhaust back pressure valve being partially closed but you say you are getting decent mileage. I don't think anything is wrong. I know when I've had my truck in Denver and higher I can blow thick dark clouds until I'm on top of the turbo, there's less oxygen in the air at altitude. I'm turned up a little though.
Is there a sticker under the hood stating that the vehicle had a cat? If so he may have seen that it doesn't anymore and is just coming up with something to say.
![dunno :dunno :dunno](/styles/default/xenforo/smilies/shrug.gif)
Removal of the cat will allow for quicker spool up of the turbo yielding less smoke.
You could find some biodiesel and see if it will pass the test.