The heat difference is the key.
A steam engine is a heat engine. It gains most of its power from the steam giving up its heat to do work in expanding, something that is further improved by superheat. Air going through a steam engine has far less energy stored in it and can do far less work for the same pressure.
A steam engine can be made more efficient by adding a cold condenser to create an exhaust vacuum. If you made an air engine create its own vacuum, it would take more energy than you got out, unless it was so cold it liquified the air.
It'sa fascinating subject that I'm only beginning to understand – the likes of Watt, Woolf etc. were very clever folk.
Neil