She may need to be cuddled for a few minutes when you take her out of the tub. Even when I have dried myself off all the way, the air in the bathroom still feels cool to me and my skin feels damp. Anyway, I had to do this with my youngest child, a girl. She loved her bath so much, and still does now that she is 12, but when she was an infant, I found if I cuddled her in her towel just for a few minutes, then I made a big deal out of putting the lotion on her. She almost got a daily massage! Lucky girl! After I started doing that, even at 3 months, she calmed down and quit crying when I took her out of the tub.
Also, if the heat is blowing in through heat vents when you take her out of the bath, that will still feel cool to her damp skin.
Good luck to you M.! It sounds like you are blessed with a beautiful family. And you live in a beautiful area of the States! I live in Idaho and it is very beautiful here also. God Bless you and your family!