I don't know the actual scientific explanation for it, but I'd say they definitely travel further in dry air...perhaps because there are fewer particles for them to reverberate against that will distort and deaden them? I grew up in a desert and sometimes sounds can be heard from miles away, yet after a rain these sounds only travel half or less as far, and in the fog they really don't travel at all, even shouts are deadened within yards of their origin.
Sound waves are pretty close to independent of a gases density or pressure. However, sound waves travel faster in a lower molecular weight gases. This would include humid air which will have a higher molecular weight than dry air.