The humidity has an affect on my MPG. I noticed that my MPG went from 49 - 52 MPG down to 44 - 46 MPG when the heat & humidity started here in June. Yesterday a cold front came through and the humidity dropped. I filled my tank up and noticed my MPG is back up to 49 MPG, so the only thing that is different is the humidity. WOW the cold & humidity does affect the MPG (approx 4 - 6 MPG).
It is a sensitive piece of machinery. I have also notice mine FE come down since the late spring. A lot of humidity up here this summer. I all though, still getting much better FE than ever before!
In high humidity conditions, atmospheric water molecules decrease the number of oxygen molecules in a given volume of air. It is safe to assume that volumetric efficiency of the engine will be reduced in humid conditions if temperature and pressure are kept constant. This effect is compounded as temperatures rise. The worst possible condition for efficiency is hot and humid. No one likes to race on hot and humid days. Dry cold days are MUCH better.
Something else to consider is that water molecules are better heat stores than air (O2/N2). Which means two things: 1) cold, humid air sucks a lot of heat out of your tires/radiator - moreso than cold, dry air. This can affect rolling resistance even if your engine stays warm. 2) hot, dry air sucks less heat out of your radiator. This can affect engine cooling since hot&humid air is more efficient - probably not enough to cause an overheat, but more than enough to make the fan work harder.