No. Pneumonia is an infection and/or inflammation of the lungs. Being cold or wet doesn't make you sick with infectious diseases. Being infected by a bacteria or virus (or other infectious pathogen) that your immune system is unable to fight off is the cause of not only pneumonia, but virtually every communicable disease. It is the transmission of this infectious agent that causes the illness, not the conditions in which the infection is contracted.

To say that cold and/or damp conditions cause pneumonia is like saying sleeping in a bed makes a woman pregnant simply because that's where lots of women get pregnant. The correlation between the two is purely coincidental.