You cannot tunnel into a slopped hill, it must be into a flat wall. If you are trying to make a walkway go underground, use the directional arrows to make it go under.
You can also build rollercoasters underground, as well as the ghost train, turnpike cars, and anything with a track, just not the flat rides.
To build a ride completely underground, you must first start above ground and build until you get underground, and then go back and delete the parts you started with above ground.
It'll take some practice.
-------------
Neil
Pittsburgh, PA