If it wasn't weed that they were burning, it was probably sage (often used in various religious rituals).
But that still doesn't make it ok.
I would definitely ask the producer or venue manager for a copy of venue guidelines. It's extremely likely that there's a policy in writing somewhere about no smoking or unauthorized fires anywhere in the building. It's just not allowed, but you should try to get a member of upper management to support you. This can become a touchy issue when people play the "religious freedom" card. Yes, some religions call for the use of psychoactive plants in rituals. But it's still illegal to smoke marijuana backstage, even if you're a Rastafarian. Sorry.
As far as getting rid of the smell, do NOT burn incense. This is just as bad and you're really only covering the other smell - not solving the problem! Singers, actors, and other people whose livelihoods rely on their voices would object to pot, sage, or incense for the same reason - their fumes contaminate the air and irritate the vocal cords. Open all the windows, and then use a chemical odor remover like Odo-Ban or Febreeze. Keep the windows open for as long as possible - it might take a full day to let the room air out entirely. Some general cleaning will help remove the stank from furniture (vacuum upholstered couches and chairs, shake out rugs, wipe down tables and even the walls). You can even use dryer sheets to rub over the furniture - or make a dryer sheet "sail" in front of a hairdryer to neutralize the odors and fill the room with a fresh laundry smell.