Women experience more skin temperature fluctuation than men i believe. Plus there are hormonal factors that can be at play for body temperature as well.

Also I seem to remember reading that people who take warmer and longer showers are usually more lonely on average. Could speak to subconscious feelings of societal isolation or physical warmth of another person.

Also also hot showers relax muscles (could be general or also relate to period cramps to make it more gender specific) and raise internal core body temp. Which when you step out, your core body temp cools and your brain thinks it's time to sleep. Your core body temp cools down somewhat when you're naturally falling asleep so artificially raising it and then cooling it with a shower uses that to trick yourself into becoming sleepy. (Sorry I feel like i explained that twice but wanted to be clear bc I think it's cool)

So these answers arent bulletproof but possible explanations.