Did a little looking around on the net, cause this actually sparked some curiosity for me event though I'm not from there.
On June 18, 2004, someone posted the following info about it... perhaps it's useful...
During the 1920s, TMER&L built a grade-separated, double-track, private right-of-way rapid transit line through the west side of the city and suburbs. The new line replaced the previous in-street route that zigged and zagged its way through the same territory. However, there was a gap between the downtown interurban terminal (the Public Sercie Building at 3rd and Michigan Streets) and the start of the rapid transit line (at roughly 8th Street between Clybourn Street and St. Paul Avenue) where interurbans had to navigate some right-hand turns and in-street running for the few blocks in between those points. The "subway" was planned to eliminate that stretch of street running by connecting the Public Service Building (which would get an underground platform/boarding area) and the rapid transit line--so the subway was really just going to be a tunnel about five blocks in length.
The western end of the tunnel (near 8th Street) was actually partially built; it was alongside the newly-built Transport Building, which was the transfer terminal for TM's freight service. This building is now known as the Aldrich Chemical building, which literally sits in the middle of the existing Marquette Interchange--the freeway ramps actually weave over and around the building...it will soon be demolished as the interchange is going to be completely reconstructed. Of course, the Great Depression prevented TM from ever completing the tunnel project, so interurbans had to continue zig-zagging those few blocks down the middle of the streets. I think the subway approach was eventually used as car storage tracks; and the tunnel--however far it got--was eventually obliterated by the time the freeway interchange was put in during the late-1960s. And the rapid transit line through the West Side itself became the right-of-way for the I-94 freeway.
I do not know how the eastern end of the subway, beneath the Public Service Building, was supposed to look like. It could have been a simple stub-ended arrangement, or perhaps an underground loop around the block. In any case, it's likely the only stops interurban would have made in the tunnel would be at the terminal, since the tunnel was only five-blocks long...so it would not have been like the usual kind of subway we're familiar with.
Of course, if this "subway" could have been completed, it could have been a catalyst for addional interurban tunnels in Milwaukee. Perhaps it could have motivated TM and the City to build a tunnel to link the Public Service Building with the private right-of-way of the northern interurban line on the North Side of the city (which had to traverse a few miles on city streets instead). Such an operation would have probably behaved more like a traditional subway too, since it would have been a distance of a few miles, rather than just a few blocks. Lots of Urban Exploration goodness at https://urbexobsession.com
Sometimes sewer maps will list other near by tunnels, Sandborn maps are nice too. If the tunnel is still there it should be listed somewhere, because if someone were to dig, that would be vital information. ALso buildings do not sit well on top of tunnels. You may not find what you need online, get creative.