Humid air would be colder than dry, but all cold air is pretty humid. Currently 5° and 72% humidity in Buffalo and 33° and 81% humidity in Vicksburg. Cold air can't hold moisture and even arid climates are humid when it's cold.
The reason it's colder in Mississippi at 30 vs Buffalo at 10 is because you're not acclimated in Mississippi. I used to freeze my butt off in TX wearing long handles at 30°. Now I am sitting outside in flip flops and shorts at 20°.
I have a weather station at my house in the mountains and have become fascinated with all of this. Our official temp was -20.1 on New Year's day, but my station pegged out at just under -15 for a few hours so I guess that's all she's got. Notice that humidity.
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The reason it's not a big deal, check out that August 9th low...
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Humidity is high even in the mountains when it gets cold. Currently 21° and 97% humidity here
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Not sure what the wind chill gets down to up here as my wind Guage froze solid in November and hasn't worked since.
I now run the snowblower in a pair of bibs and a wind jacket and still sweat my *** off... Nothing prepares you for cold or heat like acclimation. I'm afraid I will be a heat casualty if I ever come to a state football game before Halloween again.