Underzone is a Zone of Mobius, located directly underneath the Emerald Hill Zone. Entirely populated by a kingdom of worms and led by a queen, it is a well-kept secret from the rest of the planet. The majority of the worms seen work as coal miners, using the natural materials for fuel and everyday objects. The food of choice is mouldcake.
Tails accidentally stumbled upon Underzone after saving one of its inhabitants. In order to keep the Zone's secret safe, the fox wasn't allowed to leave ever again. However, after saving the people from a poisonous gas leak, he was allowed to leave, providing he forget about everything he has seen, lest he have a bad time.
True to his word, this was one of many, MANY one-off zones. I guess since there is a similarily named game that is quite famous on the internet, you know, on this day, children like Tails should be burning down there. You do want Snail Pie, don't you?