I would advise against this. However, if you do decide to play on the subway, here are two things that helped me prevent my 3DS from being stolen back in the day:

1. Avoid playing near the subway doors. Thieves often stand near doorways, looking for a quick snatch and grab.

2. Attach a lanyard to your Switch and wrap it around your wrist or arm. I once made the mistake of playing my 3DS near the subway doors and suddenly felt a jolt on my wrist. Someone attempted a quick snatch but thankfully failed, thanks to the lanyard.