As stated in the in-game encyclopedia in Vandal Hearts: Flames of Judgment, "Centuries ago, Biruni engineers collaborated with Urdain and Balastradian laborers to build a highway connecting their three nations along the straightest possible path: Underground. The tunnels were only partially completed before logistical troubles and political tensions ended the project."
Many of the Dread Mines' tunnels connect to those of the Path of Unity, and after the project got cancelled, the Gatekeepers used these underground roads as meeting places. Inside these tunnels, there are also important ritual places such as the Tomb of Keliask, as well as Biruni ruins and artifacts.
There are Giant Worms and other underground creatures nests near some of the tunnels, and with the time, they are getting more and more into the tunnels themselves.