Normally we don't see the cargo door open on any official plane. But they do open it routinely because that is how they load luggage and other supplies onto the plane. We just don't see it because the TV cameras are off.

The common schedule for President Trump likely included the fact that all supplies including the luggage left the White House for Air Force One about an hour he was supposed to board Marine One. This meant that the luggage was already on the plane once he was on board Marine One. The only piece of luggage that follows the President onto Air Force One is the Nuclear Football.