I heard it in a movie once, where it had sexual connotations. So, does dry heat mean anything, or you never heard it before? If it has sexual connotations, please say so, because that is exactly what I need for a little project mine.
Cooking without the addition of liquid. Examples include grilling broiling and panfrying. Used for tender cuts or less tender cuts that have been marinated.
A stupid statement made by old-timers, when someone complains that it's hotter than hell outside, implying that low humidity makes extremely high temperatures easier to tolerate.
Joe: 114 degrees! Jesus, that's HOT!
Schmoe: Yeah, but it's a dry heat.
These are the only two meanings I know about. The full context of the phrase would help to identify if the script writer was creating a third meaning.