Baking powder will have some extra starches that will help remove some moisture… but both baking powder and baking soda use a bicarbonate to raise pH. Increased pH means browning reactions happen faster.

High pH washes are how pretzels get heavily browned outsides, while keeping a fluffy inside. You're essentially doing the same thing here. Increasing the pH of the skin, causing it to brown/crisp faster than the inside, leaving a crispy skin and moist insides.

If you ONLY have baking soda, you're fine to use it. However, your wings will come out much better if you add a starch (like corn starch or flour).