Green’s Dictionary of Slang

an act of simulated sexual intercourse, usu. with clothes on.

1923		R. McAlmon Companion Volume 236: The girl who’ll give a guy a dry screw but won’t take the pin. She ought to be raped.
c.1973		J. Thompson ‘Sunrise at Midnight’ in Fireworks (1988) 178: ‘La Casa de dance, I believe it’s called – ’ ‘Yeah [...] They oughta call it the Palace de Dry Screw.’.