Electricity almost always transfers through the air and along the surface of materials. Air is considered an insulator because it doesnt conduct electricity very well, but it essentially acts like a very, very large valued resistor.

Given the voltage, you can calculate the distance through air a spark can jump using the breakdown threshold for the air. This is the distance at which the air breaks down creating a lower resistance path which lets more current flow, resulting in a large spark. For AC wall voltage this distance is extremely small, and even 100% saturated air will still have an extremely small spark distance.

In other words the humidity isn’t directly a problem. The problem is condensation and corrosion, which could result in shorts, fires, and shocks, as well as electronics which fall into water or have a loose wire inside. Hair dryers, curling irons, etc can be dangerous because their heating elements can have live wires inside that could shock you if you dipped it in water. GFCI is meant to save you in cases like this by turning off the outlet.