I've heard that baseball players can...

It might be true. Humid air or air with low pressure would mean less aerodynamic drag to slow down a baseball traveling through it. The baseball stadium in Denver has low air pressure because of its high altitude. The stadium is somewhat notorious for how far balls travel, so there could be something to this theory. If all other factors are equal, a ball should travel farther on a hot, humid day than on a cool, dry day. We’re not aware of any conclusive studies of this phenomenon, however.