The main reason is that a turbine extracts energy from the working fluid predominantly in the form of a pressure drop; it doesn't care how much thermal energy is in the fluid, so to speak. If the exhaust pressure of your combustor is not much higher than ambient pressure, then it will not have much capacity to turn the turbine. The gas will exit the turbine but will still be relatively hot, indicating wasted energy.

Instead take some of that heat energy and convert it to pressure energy by boiling water - now you have a working fluid that's much more useful for driving a turbine. The turbine is now able to extract much more of the original heat energy in the form of pressure, hence higher efficiency.

The main reason is that a turbine requires a pressure drop to extract energy from the working fluid. The drop in temperature that is observed in a turbine is a result of the expansion of the fluid; the turbine doesn't have a way to extract the heat energy directly from the fluid.

The total work done by the fluid is typically expressed as a change in enthalpy, which is the sum of internal energy (heat) and work done by expansion (pressure drop): $\Delta H = \Delta U + \Delta (PV)$. If the exhaust pressure of your combustor is not much higher than ambient pressure, then there won't be much of a pressure drop across the turbine and hence not much work will be done by the gas. The gas will exit the turbine at a relatively high temperature, indicating that it still has a lot of energy that wasn't extracted by the turbine.

The solution to capturing this wasted energy is to instead take some of that heat energy and convert it to pressure energy by boiling water - now you have a high-pressure working fluid that's much more useful for driving a turbine. The turbine is now able to extract much more of the original heat energy in the form of pressure, hence higher efficiency.