“moist” skin is essentially healthy oily skin.
the Shower (in combination with a soap that binds dirt **and oil**) causes your skin to dry out. The water does not contribute to the moisture of your skin.
the water evaporates on the skin and even might cause more dryness, depending on your skintype and how fast it can replenish the surface with oils.
TL;DR: water doesnt contribute to skin moisture, shower in combination with soap removes oils. lotion replenishes them before the bodies own can kick in.