You raise a valid point, Lu. Propylene glycol in our e-liquid is a humectant, of course, as is vegetable glycerine. These attract moisture to a 70% humidity level. Rubbed on skin, PG can "moisturize" by drawing water from the surrounding air.
But the mouth and lungs are supposed to be moist places. If you coat their surfaces with propylene glycol -- and then breathe in dry, cold or air conditioned air -- you are likely to draw moisture FROM your body to the air, which you then exhale as a cloud of vapor (some of it from your own body's moisture).
Since the lungs need to stay moist, moisture is taken from other parts of the body. You get dry skin, crusty eyes, itchies! And you get a sore throat that invites viruses to come on in and settle into tiny cracks caused by the drying out (your throat looks like a lake bottom after all water evaporated).
The best solution is to stay hydrated. The last chore before bed should be to rinse out the mouth and drink some water. (Head to the bathroom first; then drink a little water before lying down.)
That headache is a message from your body. See if hydration addresses that particular message.