Most subway lines were dug after the city they go under was built, and, for example, there’s a whole lot of London on top of the London Underground. Very difficult to dig upwards, very expensive to dig downwards. In the above ground sections you’d have to rebuild all the road bridges.
Much easier and cheaper to run the most efficient service possible with a high throughput of trains.
Apart from several offences under Section 58 of the Terrorism Act 2000.