Cigars are stored in what is called cellophane. The cellophane is used to prevent the cigars from being damaged, and deters against flavors mixing. But what many people don't know is that cellophane is actually a porous material. In other words, it allows humidity to pass through it.
Want an example? Take a cigar in the wrapper and leave it outside your humidor for a week. You might as well throw it away, it will be ruined. The wrapper didn't hold in the humidity, it did nothing at all really. So it isn't hard to see how the wrapper doesn't really effect the humidity of the cigar.