No I think that there's more to it than superstition - We often blame things on superstition when we don't understand them ourselves.

I've been playing around with sleeping with a fan & air-conditioning and I always notice that my throat is all dryed out in the morning from the air flow directly over my face.

I need a couple of glasses of water to re-hydrate after sleeping with a fan or air-conditioner, so if its not too warm a night I prefer to leave them off. I seem to get a better night's sleep too, but maybe that's just because it's a cooler night.