There are a few states I consider with this question;
- Temperature Humid
- Temperature Dry
- Movement of molecules when Humid vs Dry
Your body sweats to release heat. That water(sweat) that comes off your skin is holding heat from your body. So, when there is humidity in the air the sweat your body is giving off is not as able to be released so you will feel hotter. As long as we are above freezing, hot and cold do not matter. You will feel warmer in humid climates because our bodies cooling system is evaporative cooling. I say above freezing because once you hit freezing the moisture begins to leave the air and it's all dry at that point. Being dry means your body cools more effectively. Hot or cold, your body will feel cooler without humidity.
Now let's take in to account wind. The movement of molecules. With more humidity in the air the wind is more able to remove hot molecules from your body. So a humid wind will cool you better than a dry wind. Anyone that lives in a place like Southern Arizona can tell you that wind is no more than a hot blow dryer in your face during the summer.
Case in point on water that moves vs doesn't. A wetsuit uses water to insulate your body. So more water around does not mean you will feel colder. It is the ability of those molecules to remove that heat. Ie. The molecules need to be able to transport heat away from you.
-20°C would be cold, but the humidity was low, so it felt OK
At -20°C the humidity will be leaving the air pretty fast. Meaning you shouldn't be feeling much humidity at these temps. Yes there are situations such as snowing and freezing rain but I am not currently covering those.