It would be terribly expensive to build a CAN PHY which can directly handle the electrical requirements of a CAN bus directly into the MCU. Same goes on for any other electrical interface, such as RS-485 or RS-232, Ethernet or whatever. Only some specialized MCUs could have direct CAN bus connection. For example the STM32 can't work with 5V power supply required for CAN driver.

It is far more easier to make the MCU to have the CAN bus logical level controller, and have the 3.3V logic level connections to CAN PHY which provides the interface to physical wires with high power transistors and protection components, and make it compliant with differentially transmitting and receiving the 5V bus voltage levels.

It would be terribly expensive to build a CAN PHY which can directly handle the electrical requirements of a CAN bus directly into a general purpose MCU. Same goes on for any other electrical interface, such as RS-485 or RS-232, Ethernet or whatever. Only some specialized MCUs could have direct CAN bus connection and they do exist. For example the STM32 can't work with 5V power supply required for CAN PHY driver.

It is far more easier to make the MCU more generic and only to have the CAN bus logical level controller, and have the 3.3V logic level connections to CAN PHY which provides the interface to physical wires with high power transistors and protection components, and make it compliant with differentially transmitting and receiving the 5V bus voltage levels.