Aww... I saw the title and wanted to say something about a vacuum cleaner or a bucket of water (beings of "smokeless flame" and all...)
But in all seriousness, it depends on which take of Djinn you want to go with. Djinn as another name/kind of angel might make things twitchy and difficult, but in typical Dresdenverse it would seem that they're completely unrelated so that part's up to you and the player.
As for playing as a Djinn, just stack up some Nevernever powers (Swift Transition and Gaseous Form come to mind), maybe a Recovery/Toughness with a Catch of holy stuff, and possibly even Channeling or something.
For a master of a bound djinn, I'd err on the side of treating like an enchanted item, but more mechanics than that I'd need some time to work out.