I'm reading this PDF in which it proves
$(P \to Q \to R) \to (P\to Q) \to P \to R$
using the Coq proof assistant.
However I'm a bit lost about what does this theorem means in terms of logic. I'm used to proofs of the type
$p\to q \iff p ∧ q$
and by doing a truth table.
However, such assertion makes no sense to me. For example, what does $(P\to Q) \to (Q\to R)$ could mean? IF $P$ is 'is raining' and $Q$ is 'if it rains, then the sky is blue', then what $(P\to Q)$ implying something would mean?
In order to understnd how to prove it in Coq I need to understand how the proof of that would work in math.
UPDATE
Also, why this is an axiom if I can prove it?
First, it helps to add some parentheses. In particular, while a statement like $P \rightarrow Q \rightarrow R$ is typically regarded as ambiguous (is it $P \rightarrow (Q \rightarrow R)$, or is it $(P \rightarrow Q) \rightarrow R$?) the parser in Coq will in such a case always parse it as if the right operation hasd precedence. In other words, it will parse it as $P \rightarrow (Q \rightarrow R)$. Accordingly, the statement you are asking about is:
$$(P \rightarrow (Q \rightarrow R)) \rightarrow ((P \rightarrow Q) \rightarrow (P \rightarrow R))$$
and that should help you to think about it.
Now, one way to think about this statement is that it represents kind of 'conditionalized Modus Ponens'. That is, this statement effectively states that if $P$ is true, then we have Modus Ponens, for within the context of $P$, we have that if we have $Q \rightarrow R$, then if we also have $Q$, then we have $R$.
This statement is one of the axioms in many axiom systems for propositional logic, and the reason is exactly as stated in the previous paragraph: it allows one to effectively apply Modus Ponens within any number of assumptions. But you really have to study those axiom systems to really appreciate that.