But it’s not a tarxz, it’s an xz containing a tar, and you perform operations from right to left until you arrive back at the original files with whatever extensions they use.

If I compress an exe into a zip, would you expect that to be an exezip? No, you expect it to be file.exe.zip, informing you(and your system) that this file should first be unzipped, and then should be executed.

use a real operative system then

I get your point. Since a .tar.zst file can be handled natively by tar, using .tzst instead does make sense.

Sounds like a Windows problem

I would argue what windows does with the extensions is a bad idea. Why do you think engineers should do things in favour of these horrible decisions the most insecure OS is designed with?