Energy is flowing into the car when the sunlight flows in through the windows. The Sun's energy flows as electromagnetic radiation, most of which is visible light and infrared light. When the light hits the solid objects in the car like the seats it heats up the surface. The air itself doesn't absorb much heat from the sunlight, but it's touching the hot surfaces in the car so it gets heated up from that.

The air outside the car is also heating up in the same way, but there's a huge amount of air outside for miles above the surface of the earth which is constantly moving around, so the same energy is heating up the air outside, but the energy is spread over a much larger volume of air so it doesn't get as hot as the small amount of air in the car.

Sometimes the air outside can get very hot, for instance in the middle of a large asphalt parking lot. In the parking lot, the black surface doesn't reflect much light so it absorbs more of the sunlight as heat and it heats up a lot. Because it is a large area, it takes longer for the hot air to get blown around by the wind so the air can get pretty warm. If you just had a tiny patch of asphalt, the asphalt would heat up but the wind would easily move the air around to spread that heat over a larger amount of air, so the air wouldn't get very hot.

The reason that the air inside a car on a sunny day is generally hotter than the air outside the car has to do with the confinement of the air. Light enters the car through the window and heats the interior of the car. Yet, since the car is a closed system, the air inside the car does not escape and mix with the outside air to transfer heat. The only way heat can be dissipated from the car is by thermal contact between the car and the outside environment (as well as black body radiative transfer by light which we will neglect in this explanation). Such a heat transfer mechanism can be modeled by Newton's law of cooling: dQ/dt=-h*A*ΔT(t) where dQ/dt is the rate of heat transfer, h is the heat transfer coefficient, A is the area over which thermal contact is made, and ΔT(t) is the difference between the temperature of the object and the environment as a function of time. At steady state (if you leave the car out for a long time and it heats up), the rate that heat energy enters the car as light has to exactly cancel the rate at which heat energy exits the car due to thermal contact with the environment. If the sun gives us about P W/m² (light energy per second per meter squared), the car absorbs a fraction f has heat, and we assume that the total area of the windows in a car is about 1 m², then we can say that the rate of heat absorbed by the car on a sunny day is roughly P*f. If the temperature in the car is at steady state, then P*f-h*A* ΔT=0 (heat I write ΔT instead of ΔT(t) because we are assuming ΔT is a constant with time under our steady state assumption) . From this we see that the difference between the temperatures inside the car and outside the car is then given by ΔT= (P*f)/(h*A). If we just assign some very approximate values for these variables (P~1300 W/m², f~0.5, h~10 W/(m² K), A~5 m²) we get ΔT=13 K which is about 23 degrees Fahrenheit hotter inside the car than outside.

In summary, because the air is confined in the car and the only heat transport out of the car (neglecting black body radiation) is due to the thermal contact between the car and the air outside, the car will heat up until the rate at which energy is absorbed by the sunlight is canceled by the rate at which heat can be dissipated from the car.

This is a great question! This is phenomenon called the "greenhouse effect." When the sun's light hits the glass windows of the car, electrons in the glass are "excited" to higher energy levels. They eventually "return" to lower energy levels, meaning they release energy by emitting radiation. This in turn, heats up the car!