firstly, let me clear it out and say, it does NOT matter.
now having said that, in a high humidity environment you have air that has higher specific heat meaning when everything's static, air will take more heat from the source (ie. cpu). however, when you got the fan on, specific heat doesn't really matter because time it takes for the air to pass by your heatsink will not be enough time to completely equilibrate the temperature between the air and the computer. also in higher humidity, you can have condensation & evaporation at a microscopic level which to me will just cancel each other out because we know our cpu doesn't sweat.
in a dry environment, your skin and nasal cavity dry up, which isn't good.
so i recommend putting the computer in an environment whose moise level is to YOUR liking... not its.