The Lone Ranger and the bad guy are duking it out in the lake. They both clamber out, sopping wet. The bad guy swings and misses. The Lone Ranger socks him on the jaw and he drops. The instant he hits the ground, both his and the Lone Ranger's clothes are totally dry.
In an early scene at the opening, an Indian is shot by one of the hooded raiders, and in a close up, there's blood on his shirt but no bullet hole.