interesting ! I never noticed this about Hendrix's Hey Joe (although I've been playing for ages) ..
One trick that I suggest is to listen to the melody of the voice : if you notice, the first notes of the melody are a C (high) and a B (high) : and the first chord change is C moving to G : this , is a first progression, that seem to claim : "we are in the key of G" -meaning that G is the chord that stays in the mind for a little time, just to say we can relax for a while (my explanation of "tonality"..ehm)
of course everything happens so fast , so when you hear D and A and E
you dont know what you do , this needs to study music theory with a deeper approach ( and good methods)
In music, we can see the same identical things (such as chord progressions) in different ways: for example, playing the song, to me it sounds like the D chord can be see :
as a bridge to a new tonal center (the final E) built on a minor pentatonic scale in Em , chord that changes abruptly in the end (a technique they use since classical music times)
E pentatonic minor's notes are E G A B D E so the roots of the chords of D and A , and E ,,are present , here
it's only a question of studying more kinds of music theory, because here, the basics of Classical Theory are not enough-
Jazz theory could help, but first of all, you need to comprehend how you can shift from one tonality (key) to another one in a matter of seconds