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.