Because super-heated steam and above almost acts as polytropic, so our equations just work almost as expected. If you know chaos theory you would understand physicists & engineers just got lucky when it comes to all this fluid-mech. + thermodynamics scenarios
I want to understand the mechanism of energy conversion in these equipment
Sorry, but the science isn't that esoteric here, so the energy conversion mech. wouldn't reveal that much
Remember you can (and engineers often have to) change design parameters, like blade design is completely different in a turbine vs. propeller. It is a subject of masters & PhD
Why not air?
Air has so many gases & stuff (read pollens, soot, SPM, etc.). Even if finely filtered; the kind of torture air would have to undergo via
primary heaters ->
superheater, de-superheater ->
... is likely to break down air (seperate it into its components) or cause chemical reaction not good, nightmare.
Also. jetting or more accurately throttling air at high pressures may cause condensation
Remember working fluid is (super)heated to
1. avoid thermal shock & part's erosion by eliminating moisture
2. increase the overall work done
Why not nitrogen?
You are right we can use nitrogen :) it is perfect, since economics isn't an issue.
Nitrogen can absolutely replace steam as choice of working fluid (with appropriate adjustments in design parameters, of course). In fact when we start space voyaging, someday our plans may run on nitrogen on super-cold alien planets :P