No. What makes you feel colder is the air moving faster and therefore absorbing sweat off your skin more quickly. If the air is already moist then its capacity for extra heat goes down. You should look up what Wet Bulb Temperature is. In short, it's when the humidity nears 100%, which prevents the air from absorbing any heat from your body because it's no longer pulling sweat off of you. At this level of humidity, even special forces units have found themselves incapacitated within hours due to heat stroke during army tests of soldier capabilities in those conditions. There was a heatwave of about 70-80F in the UK a couple of years ago where multiple people died of heat stroke related organ failure because the humidity was so high that their organs couldn't cool down and overheated until they just stopped working.

If you want to cool down, ideally the first step is to get a dehumidifier to pull water out of the air. This is how air conditioners work as well, they pull moisture out of the air which carries heat, and then transfer that heat and moisture somewhere else.

In the short term, you can use a "swamp cooler" as an ad hoc air conditioner to help cool down. A swamp cooler is just a big bucket of ice in front of a fan. The ice will cool down the air in front of the fan as it blows over it, allowing it to absorb heat from the rest of the room. This only works short-term though, because it won't do anything about the humidity in the room and will actually increase the humidity as the ice melts.

I don't know what else to tell you other than "evaporation makes it feel colder".

Have you ever been in a Turkish sauna? That's the same principle. Warm water in the air is definitely not pleasant and refreshing.