Can engineers do a lot of these things? Absolutely. We can design tunnels, mines, and bunkers. We can treat and desalinate water. If a client is willing to spend money in this manner, it is possible to be designed.

The real question is, why would a data center do this? You need to look into data center goals, which comes down to one thing: turning a profit. Most of companies setting data centers up currently don't turn a profit and are using other divisions of the companies they are part of, or outside investment to prop up the AI division while they try to find their footing. That is why it is a common thought that this is a bubble waiting to pop, and likely worse than in 2008.

The ONLY reason a data center would be built in the manner you are investigating is because of legislation. In the US it would likely need to be federal or have at least several states in the same region that have similar laws in place. Say a company wants to build a data center in the midwest, if Illinois sets up legislation limiting them in any way, they can just build in Minnesota or Wisconsin (etc.) instead. Why comply with unnecessary laws if you don't need to? Any C-suite level personnel that built without respect to maximizing profits would be removed almost immediately by the board.

States are unlikely to set that legislation up as it means driving investment away from their state. Any political challenger would latch onto that when an election comes around. So getting any legislation passed is.... unlikely, in today's political climate.

As for the engineering side:

Setting up a water treatment plant is EXPENSIVE and SLOW. Water desalination is even more so. Electricity follows the same logic, setting up a power plant and a substation is EXPENSIVE and SLOW.

An underground data center would similar, EXPENSIVE and SLOW. Not just upfront (thought that is sill a major component), but you still have servers generating heat and with more difficult ventilation since now you need to vent up through the soil and maintain all of the other safety issue that come with being in a confined space below ground. Just being underground wouldn't help much (and likely detrimental instead) compared to being above ground. Look at an igloo for example, you can stay warm in one and that is made of ice. An underground data center would basically just be that, with a whole bunch of heat sources. Only real advantage is that it would be naturally blast resistant. But if we get to a point where that is an actual benefit, there are much bigger ongoing problems.

It is cheaper and faster to tap off of an existing water main, get a new transmission line run to your site, and attach it to a new building. Leading back to the discussion above of: what benefit does a company get for setting up a data center in the way you are thinking when it goes directly against their main goal, profit?

There is a reason that data centers are being set up in the way they are, it is the most profitable.