As stated in other answers: we all agree that inertia is a physical thing.
As you point out, when you are in car making a turn you feel the car making that turn.
To lay out the properties of that physical sensation I'm going discuss first how our sensation of gravity comes about.
As we know, gravity pulls on all the parts of your body equally. That is, the way gravity acts is completely distributed. Let's say you are standing up. The effect from gravity that you actually feel is a sense of compression of your body along the direction of gravity. The sensation of compression is the strongest for the soles of your feet, obviously. The soles of your feet are the only part of your body that is in contact with the ground, so all of your body weight presses on that area.
From there you can go up the length of your body; every part of your body has to support the weight of the parts above it, but not the parts under it; the sensation of compression becomes less and less the higher up.
Without any thinking we know where that sensation of compression is coming from: gravity!
Since there is never a moment you are not subject to gravity this attribution to gravity is among the most automated of our perceptions.
Inertia
Now compare the case of gravity with the effect from inertia that you experience when you are in a car that is making a turn. First, all parts of your body are equally subject to inertia. That is, the way inertia acts is completely distributed.
Let's say your shoulder is against the door of the car. The car is making such a sharp turn that the door has to push pretty hard against you to make your body follow that curve. Let's say your arm is along your torso, so it's between your torso and the door. The sensation in your arm is then one of compression; your arm is a bit squeezed between the door and your torso. You feel compression of your body, identical to what you feel when you are laying on your side.
We have that the sensation of compression in your body that you feel (as the car makes a turn) is identical to the sensation of compression from gravity (when you are laying on your side.)
Automatically you attribute that sensation of compression to a gravity-like force, acting outward.
The attribution happens so automatically that you aren't even aware that you are making an inference.
Going back to gravity for a little bit. When you think about it: we actually don't feel gravity directly. Gravity has an effect, you have sensation of compression. But we don't think of gravity by its effect. Instead we automatically, without any thinking, correctly infer the cause: a gravitational force. For gravity: having that perception completely automated is good thing, you are never in a situation where you are not subject to gravity.
In the case of the example of a car making a turn, we feel the compression as the door pushes against our body and automatically, without any thinking, we infer a causal force: a centrifugal force.