Question

internal force can change kinetic energy but not the linear momentum why so

Answer 1

When you throw the object you are applying a force. If you treat the object and the car as separate objects then the force between them are external to the system (the system is just the car, not the object). That is how the cars momentum can increase with an EXTERNAL force. 

If you treat the object and the car as a single system then the force is internal. The linear momentum of that system is also zero... but yes the car has increased momentum in one direction, the object you threw has a momentum in the opposite direction. You have to count both. 

And the same logic holds with Avatars rocket example. He too is guilty of the same fallacy you were. Either you include the rocket exhaust as part of the system or you dont. And then the force is either internal or external, depending on your perspective. 

Its completely arbitrary and consistent either way you want to look at it. You need to define your system ahead of time. 

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On a side note, the car does not move because the center of mass has moved. The two are disconnected in this context. 

Also, the center of mass stays stationary IF you count both the car and the object you threw as a single system.