I agree with you. It breaks my immersion to be unable to load another round in a magazine-accepting weapon such as a pistol or rifle.
While this may be difficult to implement, I was thinking that weapons like this could automatically have another round, perhaps a separate firing mode, like how we use mods such as the grenade launcher or underbarrel shotgun, which only has the capacity for one round of the same ammo type. This would allow us to also use these weapons without having a magazine, being able to load a single round at a time into the chamber.