Painting the coal space with primer was done by a lot of railroads... the PRR was one that did this. A lot of other things were also primered but not painted (such as the inside of the stack). I would suspect that the logic was that these areas needed to be painted to protect the metal, but there was no need for a finish coat... the operation of the locomotive would quickly eliminate any color (coal dust would quickly hide the red, as would soot in the stack). Why red? Simple... that was the color of the primer (red lead).
Bill Daniels
Santa Rosa, California