I'm currently in Armag's Tomb and just realized that Ekundayo can Camouflague in his favoured terrain (I just hit level 14, good job for noticing it 2 levels later!).

Unfortunately it doesn't work in Armag's Tomb despite me having the title favoured terrain.

I thought perhaps it only applies to natural caves, so managed to find an older save in a natural cavern and it does give me a favoured terrain bonus for being underground there (mouse over the Lore skill to see bonus).

Ok well that is a shame, but I guess makes sense as an artificial underground structure can vary by whomever created it.

So I tried loading some other saves in underground:

Tenebrous Depths
- Outside - Favoured Terrain - Forest
- Inside - No Bonus

Seems consistent, perhaps I really just need Urban instead, but then I tried a few more:

Abandoned Keep
- Outside - Favoured Terrain - Forest
- Inside - Favoured Terrain - Underground

Well this map does have some natural formations, but I was definitely in an artificial part of the map.

Vordakai's Tomb
- Outside - Locked off, so I would need to redo the fight again.
- Inside - Favoured Terrain - Forest ???

Initially I thought perhaps since the above ground terrain was Forest, I was getting that, but for the Tenebrous depths this isn't the case (bonus to Forest above terrain, no bonus in the depths).

Perhaps it is simply a bug, so I went to d20PFSRD to see if I can clarify when it applies:
https://www.d20pfsrd.com/classes/core-classes/ranger#TOC-Favored-Terrain-Ex-

Seems that Dungeons should count for Underground favoured terrain, although interestingly sewers are part of the Urban favoured terrain. So at least to me it looks like Urban applies to currently habitated dwellings while Underground applies to old ruins and natural caves.