What is a dry steamer?
Dry steamers are the preferred model as they reach upwards of 240 degrees Fahrenheit and leave less moisture after treatment. Wet steamers, still effective on bed bugs, don’t reach such high temperatures and can leave surfaces wet; the higher the temperature, the more effective in tight spots.


http://www.badbedbugs.com/bed-bug-steamer/

So they aren't dry, they are (allegedly) hotter than other steamers which presumably means after hitting your cold furnishings, much of the (invisible) steam is still hot enough that it doesn't condense back into (visible) water vapor. Therefore your steamed surfaces end up less wet.