Why does air pollution comes with cold weather in tropical areas?

I do not know about the specifics of Air Quality in Thailand and honestly most of my intuition comes from experience of moderate climates.

I would guess that the main reason for increase in frequency of pollution episodes is the slowing down of ground level atmospheric convection due to cooling of the air. This is a natural reason and probably the most important one.

However there is also an anthropogenic factor, namely an increase in fuel burning for heating. This definitely applies to Northern India and Central Asia and I would guess might apply to Thailand.

Crop burning is a major cause. Crops are burnt Lal across Thailand between December and march and air movements bring large concentrations south to Bangkok. Even today islands as remote as Koh Phangan are 135 on AQI. Can't imagine tourism can work with crop burning.

For many locations this is typical.
This is because the coldest weather in most places is typically caused by cold fronts, intrusions of cooler air from more poleward areas during the cool season.

If a cold front (which is an area of lower pressure) passes through, then high pressure will build in behind it. High pressure tends to cause vertical setups called inversions, where air is cooler near than the surface than higher up in the atmosphere, preventing air from rising (see Why Are Inversion Layers So Important In Meteorology). And near high pressures also tends to have lower pressure gradients, which means lower wind speeds. Without any ability to rise or disperse outwards, pollution continues to build up until the weather pattern changes.

In these cold high pressures lower wind speeds and temperatures (plus the pleasant weather to work in, as well as the fact such cool periods can often be preceded by rain from the frontal passage) also tend to make good days for intentional burning (see this University of Auburn webpage).

Plus in much of the world the cool season also brings falling debris from deciduous plants and leftover fields from harvests in the fall meaning it's a time when more people want to burn to clear out unwanted plants.
Plus people may burn to keep warm.

So cool periods bring more benefits to burning, good conditions to do so, and weather conditions that cause the resulting pollution to build up.

The question is: does Bangkok see such cold fronts ever?

My familiarity is really only with weather patterns nearer the United States. From that area, I might have guessed no, because the amount of fronts per year decreases as you get into areas like south Florida and parts of central America, which are at greater latitude than Bangkok. But articles like Cold weather has arrived with temperatures set to fall further in coming days and Chilly mornings to continue as north-east monsoon brings a cold front, says Met dept suggest it's a possibility. It depends how properly the term cold front is being used in such articles, and what the exact meteorological circumstances are in them.

But perhaps the Himalayasmonsoon pattern indeed work together to allow cold air intrusions further south in some areas. Someone more experienced with Malaysouth Asian geography would need to give a more definitive word on this to have confidence. But it appears, at the very least, cool enough conditions may occur to encourage burning and develop temperature inversions, which would lead to the same stagnant air much of the world sees when under high pressure.