It's because your station asset has "useadjoiningtrack 1" in its config.txt file, so it adapts to whatever track you attach to it. If it's designed to BE an underground station, that's silly really, because the track you'll typically be using IS tunnel track which has built-in walls!
One way to solve it is to connect a short section of matching track with NO walls (if one is available) between the tunnel track and the station. The station then adapts to THAT track instead. Unfortunately, this creates a nasty gap though which the sky is visible, so you'll need to place scenery and/or spline objects to cover it up.
Another way to solve it is to exploit the fact that a scenery-with-track object ONLY adapts when you attach track to IT, but IT will snap to a track end vertex if it's close enough to it. Instead of dragging the track to the station, drag the station to the track and the station WON'T adapt! as far as I know, ALL scenery-with-track objects behave like this.
Method:
1. Attach a NEW piece of matching track with NO walls to a station track, to force it to adapt.
2. Delete the new track and the station track remains adapted.
3. Move the station so that track snaps to your tunnel track and the station track remains unchanged.
4. Repeat from 1 for any other station tracks that need doing.
Hope this helps you.
