It’s really tempting to use them as a setting. (Mole people, anyone?) But that seems somehow wrong, so I won’t do that. Instead, I’ll use Over the Edge and Al Amarja. The subways were created as a giant public works boondoggle back before the D’Aubainne regime and have been sealed up ever since. The PCs are the first people to discover them.
For arcane reasons (mostly ego on the part of the then rulers of the island), the subway layout matches NYC’s subways to a T. Pun intended. This actually works out fairly well size-wise; it also means you can get about anywhere on the island via the subway tunnels. That’s a big plot hook right there.
There are also people living down there, of course. And other things. Refugees, burgers who got lost… even more weirdness than exists above the surface. And they would make an ideal base for any number of conspiracies. There’s a whole campaign centered around the AAWay just waiting to happen.