What to do when a Certificate of Origin is not supplied when you purchase a car?

If you haven't been given what you need to put the title in your name, I'd say you're entitled to take the car back to the dealership (have it towed, if you can't legally drive it on the street), and hand the dealer a letter (send another copy certified mail, return receipt requested), demanding a full refund for breach of contract.  If you don't get your money back, very quickly, hire an attorney and sue them.

Every sale of property, of every sort, includes a promise by the seller, mandated by law and which cannot be avoided no matter what the "fine print" might say, that the seller has and is giving you full and complete ownership of the property.