Question

Why are capillaries and not arteries or veins found in alveoli,nephrons and villi?

Answer 1

The capillary wall is a one-layer endothelium that allows gas and lipophilic molecules such as water and ions to pass through without the need for special transport mechanisms. This transport mechanism allows bidirectional diffusion depending on osmotic gradients and is further explained by the Starling equation.

Capillary beds may control their blood flow via autoregulation. This allows an organ to maintain constant flow despite a change in central blood pressure. This is achieved by myogenic response, and in the kidney by tubuloglomerular feedback. When blood pressure increases, arterioles are stretched and subsequently constrict (a phenomenon known as the Bayliss effect) to counteract the increased tendency for high pressure to increase blood flow.

In the lungs special mechanisms have been adapted to meet the needs of increased necessity of blood flow during exercise. When the heart rate increases and more blood must flow through the lungs, capillaries are recruited and are also distended to make room for increased blood flow. This allows blood flow to increase while resistance decreases.

Capillary permeability can be increased by the release of certain cytokines, anaphylatoxins, or other mediators (such as leukotrienes, prostaglandins, histamine, bradykinin, etc.) highly influenced by the immune system.
for more reading https://en.wikipedia.org/wiki/Capillary#Physiology