We can use coal and have cleaner air. Really we have the capability to install "scrubbers" that clean the air better than what we breathe.
Scrubbers are not as easy to maintain as they may sound. The stuff that they are scrubbing makes a very corrosive solution in the water used to scrub the flue gas. Regular steels cannot last, and the alloys that do last are very expensive. I think they also produce some pretty polluted water, but I haven't looked at the designs in some time. Either way, your point is good. There are several options available.
WFTR
Bill