With some trepidation, I will try to answer.
Part of the answer is how you look at it. You could ask why does distortion decerase when you increase impedance.The standard impedance you see for most tubes 2.5k for 2A3, 3.5k for 300b ect. Are not necessarily set for the lowest distortion but for the highest power output.
From this point increasing the impedance, reduces the load and distortion at the expense of power...Now this is not precisely true..and of course there is a lot more to it. But for that we need to look at load lines.
Which brings us to the next topic see above...John