> (While it's not made totally clear, I assume they're mostly finding stuff building stations, not tunnels. The tunnels are ~20m below ground, but the stations have to go all the way to the surface.)

This is exactly right. Rome's subway is famously dug very deep (30-80 meters) so the tunnels run under the ruins, but each station requires an excavation down to tunnel depth.

Blasting through rock is expensive and only done if needed - I'd suspect that most projects now are cut and cover or tunnel boring machine - both of which can also be terribly expensive (see: Seattle).