Exile was all underground and the game rocked.
but, it would play hell with the plot of Fallout, it was all about emerging from the vaults and going out into the big bad wastes, if you just kept going into well defended underground cities, it wouldnt be the same culture shock. plus, the underground farm wouldn't seem as strange, and vault city wouldn't exist as all the vault dwellers would probably still live in vaults. not that the last thing would be a bad thing...