>>1608058Because above-ground vehicle emissions don't just rise up and up and up into the atmosphere; they move around with local air currents. Subway trains push air ahead of them and pull air along beind them - the pneumatic effect - so of course if there's a busy road outside the station it'll draw the outside air into the subway.
As
>>1608062 points out, it's an issue on the London Underground lines that are 'deep tube' and run through Central London, not the above-ground lines on the outskirts (that can presumably draw in fresh air more easily)