Why you no make windows for my house Bethesda?

That's a performance issue. The consoles and low-end PC would severely struggle with the extra strain on their computing power windows would mean -- well, windows you actually can look out though that is.

Have there ever been windows in any house in Skyrim? The only one I can think of is Anise's cabin, with the "open" window that I still can't jump out of.

There are some house/castle mods with real windows. But you'll need a really good PC to run those, and you'll still notice a good drop in your frame rate when playing those.