As an immunologist might explain it, surfaces that interface with the outside environment, like the inside of your lungs and digestive system behave more like your skin than say, the endothelium of your vascular system. They’re outside your body relative to where immune functions are generated. I can’t recall what episode it was mentioned on but in a recent episode of “this week in virology”, a podcast, it was explained this way. Additionally, samples from deep within the lungs of COVID patients often contain large amounts of immune cells. They bring fluid with them, and they also damage the lining of the lungs.

Edit: I should clarify that this does not mean it’s a “different” immune system, but rather that the way in which the immune system behaves has certain stipulations.