Does humidity increase oxygen levels in the air we breathe?
As to the answer in the title, no, increased humidity does not increase oxygen levels in the air.  In fact it does the exact opposite, since the air in each breath will have some fraction displaced by water molecules instead of the normal nitrogen and oxygen mix we breathe.  It's a relatively small effect, with water making up at most a few percent of the air under high humidity/high temperature conditions that are safe for people to inhabit for reasonable periods of time.  That would mean that oxygen content would be decreased by about 1% in your steam room (again, this assumes you're not doing something dangerous with the temperatures and humidity.)

As to your other questions, you've got serious methodological issues to deal with.  Your first goal in finding the reason for the significant differences you've noticed should be verifying whether those significant differences actually exist, or whether they are based on things like confirmation bias or the simple effects of being in a boiling hot room vs outdoors in Colorado.  How you do that is really more of a psychology experiment, as has been suggested by the comments above, and would be better suited for the Cognitive Sciences Stack Exchange.