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I often wonder about that. My family was in the coal business for 50
years--I still keep about 10 tons in stock.
My uncles, in their retirement, amused themselves by heating our 40 x 50
barn-shaped commercial garage, apartment upstairs, with a coal stove.
A true stove, with heat pipes coming off the jacket, not just a
point-heater. The apartment, at the end of the ducts, stayed clean enough,
but after my uncle died it took me about a year to get the last of the coal
dust out of the downstairs, around the furnace, in the joists, in the tool
bins, etc. etc.
The furnace was tight and clean, and the chimney too. They were not sloppy
about firing it. I had about decided that they must have cleaned the chimney
pipes inside the garage a few times without mentioning it.

I got rid of the stove, but have a couple of woodburner airtights adapted to
handle coal (you don't use it the same as firewood). I don't notice any
extreme dust production now. Where did all that coal-smoke dust come from?

FWIW, my dad remembers coming across the river on our high-level suspension
bridge in the 30's, when all houses were heated with coal, and seeing a
black pall over the whole east side every morning as inexpert homeowners put
cardboard and corncobs to their furnaces to stoke up the coal in a hurry.
That all vanished fast in the 1950's (along with our residential coal
accounts) and the air got real clean all of a sudden. Factories and
refineries got all nice in that period, too, and by the 70's the air in
northern Ohio had never been so clean. Leaving AGW completely out of it, it
makes you wonder why reported instances of asthma and chronic pulmonary
diseases could be rising so fast, when the worst air pollution went away 40
years ago.

Incidentally there is a long-running debate between old Pa. and Ohio coal
drivers over whether a wooden or steel dump bed is better for coal.