I've felt that before too. It's not pleasant. They are ultrasonic so actually they use a piezo-electric transducer to create a high frequency mechanical oscillation in a body of water. The water tries to follow the high frequency oscillation but cannot because of its comparative weight and mass inertia. Thus, a momentary vacuum is created on the negative oscillation, causing the water to cavitate into vapor. The transducer follows this with a positive oscillation that creates high pressure compression waves on the water's surface, releasing tiny vapor molecules of water into the air. This is an extremely fine mist, about one micron in diameter, that is quickly absorbed into the air flow.

Hard to describe that feeling though. At first it's a warm tingle that rapidly changes to an unpleasant stinging/burning sensation.