Assuming it were constructed from scratch, the cost of an underground test track would be enormous. A typical diameter road tunnel costs nearly US$100 million per kilometre to construct (source: an article in my local newspaper). Multiply that by the typical length of a test track, say 3km (the length of Fiorano), and the total bill comes up to US$300 million, equivalent to the entire annual budget of even the wealthiest teams.
Suppose the track were converted from a disused highway like Laurel Hill, the example Keith cited, or an abandoned bunker, as proposed by Abdurahman. Either way, you run into the problem of losing downforce within the confines of a tunnel, as mentioned by f199player and moshbeard. (Still a fantastic idea to dream about, though.)