Track can't technically be built underground. It is possible to raise the entire terrain and coaster (move the track up, then go into the terraformer, select the corners of the map and press 'Mark area' and drag the terrain up to the track) and then build the track under the terrain, but still above 0 in the editor. This technique works, but it means you hit into the terrain as you go underground. It's much more effective if you just make a trench, and cover it up with 3ds. I don't have much experience with this, so i'm sure someone else could give you more details about this option.