It does seem quite rude, but I think you're right; they probably tried asking you diectly in the past, but you didn't realise, or else they got into the habit whe you were very young and never thought to stop.
Why not talk to your parents about it? Say that you want to try and participate more in conversations, so if someone asks a question about you, could they bat it towards you? (e.g. aunt Betty says "so how's Jc6chan doing?", your mum goes "how are you doing, Jc6chan?" and then you answer the question, directing it at Aunt Betty). Look her in the eye whilst you do it. She may be a bit flustered/act a bit put out, but she won't keep on doing it again, unless she's really got issues.
Alternatively, you could butt in yourself and respond, but that relies on you paying attention all the time; if you recruit your parents to help you, they can give you a nudge/swift kick to wake you up.