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)
As the door nears the door frame there reaches a point where the door, for a moment, effectively seals off the air in the room from the air outside the room. This only happens for a moment, since most doors aren't 100% air proof. When this happens, as the door continues to close it decompresses the air inside the room, because the volume of the room increases as the door continues to close but the amount of air inside the room doesn't change because the room is briefly sealed off from outside the room. Thus there is an air pressure difference across the door, with the greater pressure coming from outside the room. This greater pressure slows the door down right before it closes.
On the other hand, with a window open air is let into the room and so even though the volume of the room increases as the door closes the air pressure from outside the window pushes air into the room to keep the air pressure inside the room about the same as outside. No pressure air pressure difference is found across the door and thus it does not slow down.
It is also possible that a fan or something inside the building could be creating a lower air pressure inside the building and thus there is a small air flow from the window into the building, which would push the door to close faster one the above-described brief sealing of the room happens, thus increasing the volume of the "slam!".
Best Answer
Your car is perfect for the generation of turbulence by flow separation. Behind the car, the flow cannot follow the car contours. You get circulation patterns on many scales (i.e. a lot of large and small turbulent structures). Naturally, there will be pressure differences at the opening. Consequently, there will be an exchange between outer and inner air. The exhaust gases are being circulated upwards around the rear of the car and become part of this exchange. If there is a mean inflow through the lower part of the opening, there will be a circulation within the car and the whole cargo space will be filled with exhaust gas in no time.
Here is an illustration of the turbulent flow around a car: