Yes, but not quite for the reason you give. See below.
> colder if it's cold.
This I don't agree with. Cold air can't hold any significant amount of water vapor to begin with. It is true that a cold, rainy day feels colder than a cold, dry day with the same air temperature, but rain isn't humidity; rain is water, not water vapor.
> I think the deal is that it's more efficient at transferring heat to/from your skin.
Not quite. The deal is that your body sheds heat by evaporation of water (sweat), but water can only evaporate if the surrounding air is not already saturated, and the closer the surrounding air is to being saturated, i.e., the more humid it is, the less heat your body can shed before the air is saturated.
In cold conditions your body wants to retain heat, not shed heat, and the humidity in the cold air doesn't really affect that at all, because, as above, there just isn't enough of it in cold air to make a difference. What does affect your body's ability to retain heat is dampness or rain, i.e., water, not water vapor; the extra water (far more water than you would generate by sweat on a hot day, or than exists as water vapor in cold air) sucks heat out of your body because the water is colder than you are and has such a high heat capacity (even if it doesn't evaporate).
I have a question on this -- I've never quite been able to put my finger on it (ha) but there is some atmospheric effect that makes SOME cold days feel, to use a phrase "bone-chilling cold", vs other cold days that just feel chilly. And I'm not talking about 10 degrees F vs. 40 degrees F. There are 45-degree days that just feel miserable and 45 degree days that just feel cool.
On those bone-chilling days, it almost feels as if the cold is sticking to my skin. I've always thought the difference was humidity -- similar to how a hot humid day is just 10x more miserable than the venerable "dry heat" of a desert, which can feel significantly more comfortable even at many degrees hotter.
If it's not humidity on those cold days, what is it?
[Edit: Funny - the sibling commenter had basically the same question at the exact same time]
Sunny vs. cloudy? Little wind vs. more wind? Fog? Rain? Drizzle? You don't mention any of these other obvious factors. Are they really all exactly the same on both types of days?
At 45 degrees F, the air is much colder than you are. Under those conditions, as I've already noted, your body is trying to retain heat, not shed it. More humidity, if anything, will increase your body's ability to retain heat; so a more humid cold day, if anything, should feel warmer than a less humid cold day. However, as I've already noted, the amount of water vapor the air can hold at a cold temperature is not very large anyway, so there is very little difference between "more humid" and "less humid".
To put some numbers to this, I'll use figures from the Engineering Toolbox[1] to compare 41 degrees F at 100% relative humidity with 104 degrees F at 25% relative humidity (which is a typical condition for a hot desert day). I pick those temperatures because they have entries in the table on the page I linked to.
41 degrees F, 100% RH: 6.82 g of water vapor per cubic meter of air
104 degrees F, 25% RH: 0.25 x 51.1 = 12.775 g of water vapor per cubic meter of air.
In other words, there is close to twice the water vapor in the air on a "dry heat" desert day than on a humid cold day. And if we want to compare with a hot, humid, day, let's pick 86 degrees F at 90% RH (typical for, say, southern Texas or southern Florida in the late spring--not even summer):
86 degrees F, 90% RH: 0.9 x 30.4 = 27.36 g of water vapor per cubic meter of air.
So the difference between "dry heat" and "hot and humid" is at least (remember that I picked a significantly less severe hot and humid condition) twice the total amount of water vapor in 100% saturated air at 45 degrees F. And the difference in water vapor in the air between the two conditions you describe on 45 degree days will be considerably less than that total amount of 6.82 g; at 45 degrees F, most days are going to have fairly high RH simply because there is always some water vapor in the air, and even "some" is enough to get a fairly high RH. So even if the humidity effect were in the direction you describe (which, as I said above, it isn't), it would be too small at 45 degrees F to matter.
In short, I just don't see humidity as a reasonable explanation for what you describe at 45 degrees F. I would be looking at the other factors I listed.
[1] https://www.engineeringtoolbox.com/maximum-moisture-content-...
The cold in the midwest cuts through you in a way that it doesn't in the dry. Air temperature's the same, but the difference is noticeable. Why is that? If not humidity, then what is it?
My experience in the Midwest (and elsewhere) on colder days is that the biggest factor is wind. Even a relatively light wind on a cold day can make a big difference in draining heat from your body. Convection makes a big difference in the heat transfer properties of air.
Btw, you say "in the dry", but have you ever been in the desert on a cold night? I think you might reconsider just how cold "dry cold" can feel.
