Huffman coding is optimal among all methods in any case where each input symbol is a known independent and identically distributed random variable having a probability that is dyadic. Prefix codes, and thus Huffman coding, in particular, tend to have inefficiency on small alphabets, where probabilities often fall between these optimal (dyadic) points.
How to prove that increasing the alphabet improves the efficiency of Huffman coding, in cases where the probabilities are not dyadic?
Update
Following a suggestion by @ MarcusMüller, another framing of the question is why do larger alphabets tend more toward dyadic probability distribution? (How this tendency converts to efficiency?)