For $50 per carriage, dust collecting sponges, fans or filters could be fitted, but train companies don't care. By doing anything about the dust they might be opening themselves up to lawsuits claiming they didn't do enough about a risk they knew about... There are also political issues - often the train company bought the trains 50 years ago and will pay extortionate prices to the original manufacturer for any modifications, and if they make modifications themselves the manufacturer will drop all support.
Many modern trains are starting to have electric braking, and that produces far less dust.
1) Dust from brakes, as noted by other comments.
2) Tunnels, and stations in underground spaces, therefor hard to ventilate.
> I assume it's not as bad in say Hong Kong?
No idea, but air quality in the London underground is very bad indeed. I mean you can sometimes see a visible brown haze looking down the length of the platform.
https://airqualitynews.com/2019/11/29/air-pollution-on-londo...
Outdoor air quality in Hong Kong was pretty rough a few years on either side of 2014, but it has either gotten better lately or I've stopped noticing the bad days.
From my ad-hoc survey of subway driver friends, this seems about true... Most die in their late 60's in a country where most people make it to 70/80.
Obviously the fact their job involves sitting in a chair all day doesn't help things...