Did you turn off the ANC or ASE system? I have just added a JL Audio Sub with a JL Audio mono amp but it doesn't work too well. The treble seems like it blasting. Oddly enough when I roll the windows down it sounds great!
Not sure what sub you are running but sounds like you are pressurizing the interior of the car with that sub to its make ability. When you open the windows it allows the sub to move air more freely. Less back pressure.
If you want more volume while windows closed you would need more power to help overcome that back pressure.
And if you add more power may need a different sub.
Even with the stock sub you can hear and feel the difference when windows are down.
There is a balance to how much cone area and power you need to get the sound you want in the environment you are in.