There are a few track items on the DLS, search for "tube" "LUL" and "LT", there is also some fourth rail electrified track which was built in from TS2006 - TS2010 but it is a bit flat compared to more recent track types. There's also at least one underground station (straight platform) lurking I believe.
While I'm not saying it can't be done, building any type of sub-surface route in Trainz (or any of the other sims for that matter) poses unique and challenging problems for route creators not least working under the terrain and ensuring your network is "light tight". If you are contemplating doing a LUL route, might be better to start with an overground section - perhaps White City to West Ruislip or the Hainault Loop as a trial project.