How can I make ".." to go to parent directory like "cd.." in Windows?

Not with cmd.exe alone. Even if you successfully create file ...bat, it won't be recognized and called when you type .. and press Enter.

But you can achieve this, however. If you install free AutoHotKey tool, the following macro sends expected command whenever you press Ctrl+↑ (only in window which has cmd.exe in title):

#IfWinActive cmd.exe

F9::
^up::Send {Esc}cd..{Enter}

F12::
^+up::Send {Esc}cd{asc 92}{Enter}

#IfWinActive

Tested, works well.

Edit:

Bonus: I extended the macro.

• Ctrl+↑ or simply F9 does cd..

• Ctrl+Shift+↑ or simply F12 does cd\

• I did not map keys between F1 and F8, because they are already in use in cmd.exe.

Yes you could use doskey.exe for that. It's been available in any recent os versions (and not so recent... DOS 6.22). Always available, little known - provides history, among other features.
doskey ..=cd ..

C:\temp>..
C:\>

Technet reference https://technet.microsoft.com/en-us/library/cc753867(v=ws.11).aspx

To make this macro permanent, you'd need to setup in via Autorun.
From help cmd

If /D was NOT specified on the command line, then when CMD.EXE starts, it looks for the following REG_SZ/REG_EXPAND_SZ registry variables, and if either or both are present, they are executed first.

HKEY_LOCAL_MACHINE\Software\Microsoft\Command Processor\AutoRun

    and/or

HKEY_CURRENT_USER\Software\Microsoft\Command Processor\AutoRun