There's no proper way to make tunnels within a regular map unless as mentioned above, you using yourself of some sort of mesh that you can walk around in.
However though, in order to make tunnels and caves within the game, you must make a whole map that works as one. The game is programmed to make this simple enough, and if you are inside the map maker, there's a checkerbox saying "Has sky" I believe, if you remove this the sky will become black and you will get a ceiling over the map with a rock texture. This way it will look like a tunnel and cave depending on how you make your heightmap for it. Just as the map "Ficho tunnel" from the game.
