Mike's answer corresponds with my impressions. No doubt, as one becomes fitter, part of your bodily adaptation to the exercise is to reduce the amount of breathing needed for a given exertion, and possibly there is some sort of adaptation of the rate at which your respiratory epithelium secretes mucus as it dries out. That balance is crucial for your health. Either too much or too little can cause serious harm.
I have found however that beginning to exercise in unfamiliar conditions, such as unusually cold or dusty, can cause severe discomfort even to someone who is in a state of high cardiovascular fitness. So obviously there is more to it than just the dryness. And the pain in the thorax and abdomen can have something to do with respiratory muscle cramps and painful stretching of some connective tissues and lung tissue also could contribute.
That said, my personal impression is that dryness is the predominant cause.
