Why can't I find 'Last Christmas' in a Jimmy Eat World album?

It's not on any Jimmy Eat World album; it was only on a limited-edition single. It does appear on their 2002 DVD "Jimmy Eat World" as well as a compilation album called "The O.C. Mix 3: Have a Very Merry Chrismukkah."

Didn't you hear? World Ate Jimmy!

because it's on a seperate album produced by a company that collects covers of christmas music from bands...