Well, it’s a simple enough explanation, really, and it has nothing to do with humidity, at least not humidity as a cause.
In most of the US (most of the mid latitudes of the Northern Hemisphere, to be precise) the prevailing wind is from the southwest. That’s the fair-weather wind, and it’s the direction that most vegetation “grows into”. So trees and most plants have grown facing a southwest wind. The Coriolis Effect means that as the cooler air from the high pressure areas moves downward, it rotates clockwise (in the Northern Hemisphere, mid latitudes), and that’s what gives us the prevailing southwesterlies.
When the wind shifts to the east, that is very often a sign of bad weather, since the cyclonic wind is now coming from the opposite direction. The cyclonic winds (counter-clockwise) are caused by the low pressure areas that bring us bad weather, since the Coriolis Effect is opposite with the low pressure area vs. the high.
You can still have bad weather from the southwest, but winds from the east more often than not only bring bad weather. (And on the Eastern Seaboard, they also bring damp, humid air from over the Atlantic Ocean, hence the higher humidity.)