My mother's friend used to drive one, and whenever I was sitting in the back of it on a hot stuffy day, I used to wonder exactly the same thing. Eventually I could only come to one conclusion: They're badly designed. Nothing I've seen since has convinced me otherwise.
The only 3 door Car I've seen that had windows capable of opening was the Peugeot 309GTI. It had leavers by the handbrake that operated a complicated pulley system to open and close the rear windows.
3 door cars usually have a wider door, so the back windows are smaller, combine this with the lack of space to wind down the window due to the rear wheel arch and you have a situation where the 'drop' of the window would be so small as to be un-worthwhile. (also take account of the fact that most people buying/driving 3-door cars don't carry rear passengaers very often).
Some cars do! I had a Toyota Corolla coupe (1974 model) which had pillar-less doors and wind-down front and rear windows. Some 50s and 60s American cars did the same, but I,ve not seen any modern cars with this feature
I had a Mazda 626 Montrose - It was a 3 door saloon with wind down rear windows. There was no centre pillar so you could wind down front and back windows and drive without the pillar in the middle!
my mate has got an old mini estat, with two doors and in the back seats the windows open by sliding horizontally like in a mini bus which works quite well. but the best bit is there is part of the mechanism which you can open beer bottles with.