If you look at this wind map (for July, but following the link you can also view other months):

you will see that Egypt gets its air from the Mediterranean sea. During other months it could get less moist air, but still from the same direction.

If you look at the topography of Egypt:

(taken from Wikipedia), you will see that it doesn't have any mountain ranges that could intercept the precipitation. But it still receives very little rain.

I don't quite understand why. Is the Mediterranean air not moist enough?