The Bering Strait, the Strait of Gibraltar, the Darian Gap, there’s probably about a dozen possible megaprojects that I could name that have been proposed but not built. The question is, should they be built? Is having the world connected worth the consequences of doing so?
The world is already connected and has been connected for hundreds of years at this point. Making those connections into permanent physical infrastructure is likely not worth it, but underground trains are probably about as good as you're going to get.