It is called Venturi Effect.
The increase in speed of the air surrounding your vehicle comes with a decrease in pressure. That explains too why a chimney works better in windy days.
The Venturi effect is explained by applying the Bernoulli Equation (say, the conservation of energy of a small piece of fluid that moves within the flow) between two points along a streamline (in this case, we would follow a piece of air in a tunnel wind)
$\frac{1}{2} \rho v^2 + \rho g h + p = \text{constant}$
The increase in the first summand when the flow gains speed to adapt itself to the shape of the car, is compensated by a decrease in the pressure $p$. Look what happens in this picture (wikipedia) when the flow changes speed to adapt to the shape of the tube:
(Image from wikipedia)
$ $
Note the similarity with the high school equation for the conservation of mechanical energy of a particle:
$\frac{1}{2} m v^2 + m g h = \text{constant}$
(Just change the mass of the particle for the mass of a fluid volume unit, i.e. density, and add an additional summand to accout for the pressure, and you have Bernouilli's equation)
Bernouilli's equation is meant for an incompressible flow (water) which here means that the numerical results would be approximate, but qualitatively the same effect happens.
A related, interesting fact, is that submarine propellers must be carefully designed, in order to avoid points in which water suffers much too rapid a speed increase. When that happens, pressure becomes so low in that points that vacuum bubbles appear. The power released by the implosion of that bubbles against the surface of the propeller, not only is noisy, but also may damage the propeller itself. The phenomenon is called cavitation.
(Image from wikipedia)
We'll assume all the rooms and other containers are airtight, and that temperature is constant, for sake of simplicity.
If you put a mass of air in a bottle and seal it, it exerts pressure on the inside of the bottle. The pressure is dependent only on the amount of air, the volume of the bottle and the temperature. Since the bottle is rigid the volume does not change, and we're assuming constant temperature, so there's really no difference between that bottle of air in space than at sea level. The pressure inside is the same.
The same goes for a closed room. The air pressure on your body doesn't change when you close the door, because the air inside the room is the same amount at the same volume and temperature as before. At this point you could use a ridiculously large crane to lift the whole room into space and you still wouldn't boil away, because you're in a sealed room and the air pressure stays the same around you as you go from the ground into space. The air pressure outside the room changes, but luckily your concrete room is inelastic, so it "holds in" the pressure.
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If a house were filled with water to the top of the door and you opened the front door, water would run out the bottom part of the opening and air would come in from that outside through the top part of the opening. This is because the water is more dense than the air. In the case of your open window, the inside air is warmer (less dense) than the outside air. So outside air will come in through the bottom part of the window opening (from the outside), and inside air will leave through the upper part of the window opening. The air coming in through the lower part of the opening will carry smoke from the cigarette with it into the room.
The real proof of this is that the room gets cold with the window open. So cold air must be coming in from outside (and bringing smoke back in with it).