The formal title of the third volume of the original D&D set is "The Underworld & Wilderness Adventures". The word "The" is often misplaced when the volume is referred to casually, which changes the emphasis from a mythic "The Underworld" to a more pedestrian "Underworld Adventures". The Underworld is described on pages 3-13, and the term appears eight times in the booklet, often as part of section headers. The term "underworld" is only used once in the Blue Book, and generally fell away in D&D (to be later replaced by The Underdark), but Holmes uses it again in his Boinger & Zereth novel, The Maze of Peril:
"Rumors of the fabulous treasures of the Underworld drew adventurers, brigands, journeymen magic users, soldiers of fortune and even less savory types to the tiny town. Zereth had been in Caladan long enough to discover there was truth to the stories of the Underworld, more truth than he had imagined. Somewhere beneath the surface of this ancient land the tunnels and corridors of some prehistoric race coiled and raveled, delved, and probed unimaginable depths into the core of the world. Corridors of wealth, they were also tunnels of deadly peril, for many of the rash adventurers who set forth for the secret entrances to the fabled Underworld were never heard from again.
What race or races had built the original maze no one knew. It seemed, in the opinion of the sages and magicians of the time, that there must have been many layers of dungeons and underworlds laid down, one atop the other, as the world crust was formed, so that now no one knew, or even guessed, how many levels it extended below the surface.
But rumors of the Underworld were mostly false leads. Most of the contacts Zereth had made did not know how to reach the entrances to the fabled realm, or else their exaggerated claims turned out to be schemes to fleece the unwary adventurer of his resources" (pg 3).
Holmes uses these rumors to provide some in-story justification (though still mysterious) for the existence of endless levels of dungeons. They may reach to the core of the world - a "Terradungeon", perhaps? Much as character advancement is theoretically unlimited, the dungeons levels can also be nearly endless.
Looking back at Holmes' intro to the Sample Dungeon in the Blue Book, there are some similarities to the creators of those dungeons:
The pre-human city is reminiscent of the pre-human alien civilization described in Lovecraft's At the Mountains of Madness (1931), who built vast underground cities in remote locations. Given Holmes' fondess for the Cthulhu mythos, and that The Maze of Peril also includes a race of Dagonites (essentially Deep Ones), it's not hard to imagine a Lovecraftian origin for his Underworld.