As said, boiling water creates much more gas. To make a useful engine for the kind of applications that steam engines are used in, you want to build lots of pressure to be able to move heavy stuff, e.g. a train for which the locomotive alone may be 10 Mg (megagrams, "tonnes") or more in mass.
If we look at the ideal gas law, written to emphasize pressure, i.e.
$$P = \frac{nRT}{V}$$
we can see there are three ways to increase the pressure: increase the temperature $T$, which is what you're suggesting, de crease the volume $V$, which you can't do here because it's a fixed-size chamber, or you can increase the number $n$ of gas particles (molecules) (technically, bulk number in moles rather than direct number, for that, replace $nR$ with $N k_B$ above).
(Another, hypothetical way, as you can see, would be to somehow change $R$ ... but that's called "magic" and "changing the laws of physics". Sadly, we don't have that kind of power 😁)
Liquid water contains about 1000 times the number of particles per unit volume than gaseous water does and - more importantly - air. And it generates all that gas simply by boiling it. Thus, with a volume of material that easily fits in the chamber, you can create from it up to 1000x more gas than a similar volume of air would give you and thus 1000x the pressure at any given temperature.
Now, the gas law certainly also works just as well for air, too, and thus you could also, with air, increase $n$ and thus also $P$ in the same way. The problem with that is what it takes to do that. Air is, under ordinary conditions, already a gas: and thus to get more $n$ into the chamber, you have to pump in gas and increase the pressure. That means you are now compressing air ... and congrats, you have just re-invented the compressed-air engine, only now with an added heater. Better to just burn all that fuel to run the compressor and compress the air from the get-go, mount the tank, and leave out the pyrotechnics.
The alternative would be to use air that is condensed into a liquid or solid form. You can do that - it's called liquid nitrogen (well, okay, that's 75% of air, not 100%). The problem with that is you have to expend energy in cooling it down, now, to make it liquid, since room temp - 295 K (or 300 K if you're in China or many other parts of the world) - is way above the boiling point of nitrogen, 77 K. Thus, it's much more efficient to just heat up and boil something that is already liquid at room temperature.
Now on that last note, water isn't the only option in theory - another would be alcohol, but alcohol is flammable: you heat that stuff up in your engine and unless it were a completely inert atmosphere therein, it would catch on fire and burn all at once and you'd have a bomb, not an engine. Moreover, even if there is an inert atmosphere, the alcohol may pyrolyze (decompose, i.e. the molecules fall apart) before it reaches a good working temperature, and while in theory you could actually say this is good because it produces more gas by breaking big gas molecules into little ones and hence rising $n$ even further, decomposing the material consumes even more energy. Moreover, the breakdown products of this include gases that you cannot re-liquefy at room temperature and hence we're back to the compressed air engine. Even moreso, they include water ($\mathrm{H_2O}$) and thus we're also back to the steam engine. Finally, the $n$ of alcohol yielded per unit volume is smaller than water owing to the larger sizes of its molecules.
So at the end of the day, you might as well tank it up with water. It is liquid at room temp, boils at a relatively low temp, has lots of molecules to give up, is extremely common and cheap (esp. if you get it from the ocean and not use precious freshwater reserves since you don't need to drink any of this, moreover, distillation is trivial since effectively your engine "distills" it many times and thus doing a pre-run outside is trivial added expense), and anything else you might use will stand a strong likelihood of turning into it anyways, and insofar as it is concerned, it itself does not pyrolyze until around 3000 K or so, well above the melting point of iron, 1811 K and thus above the point where your engine turns into a lava puddle.
Water is where it's at. In fact, I might hazard that it's the optimal material for this purpose: generally speaking, more complex molecules fall apart more easily (more complex things, break more easily in general, as a universal principle), and of simple molecules (e.g. 3 atoms or so) all are either gases at room temp and/or dangerous reactive substances (e.g. hydrogen chloride).
Now, if you were building an engine to operate on an extraterrestrial body like Titan or even Pluto, you'd have the option of using solid or liquid nitrogen or methane/ethane as it's cold enough these are now available "for free" like how water is, without any special chilling steps. While the problem of decomposition temp for the latter still technically remains, you have to remember engines, and the gas laws with regard to temperature, operate on ratios of expansion and with liquid methane being boiled you're starting at 111 K instead of 373 K, thus going from just over 111 K to 333 K, still below the decomp. point of methane, gives you roughly the same expansion as going from 373 K to 1119 K, as may be done in a real steam engine.
The trouble is, now you're going to be more worried about fuel/oxidizer combos, and you'll probably thus want to just use them more directly in an internal combustion-like setup. The whole point of steam engines was that you could use felled wood and/or coal, together with atmospheric oxidizer. Nothing like that on these worlds.