yeah, well, air and H2O don't conduct electricity, but that lightning arc comes down somehow.
I'm no expert, but I'm pretty sure water conducts electricity, which is why your electronics don't work after you drop them in it. Water short circuits everything and components get fried. And it's the ionized particles in the air that conduct the electricity, not the individual air molecules.
Who knows, maybe I'm 100% wrong, but I'm pretty sure there's some truth in that statement