it might depend on what you want to do with the underline. Does it just indicate some kind of emphasis?

Could you use the convention in your documents that "_" is the underline delimiter? I know that the default is to render it as italic/emphasis but that is just a decision at rendering time. The semantics of emphasize/underline could easily overlap.

Of course if you want 3 levels of emphasis with bold, italic, and underline, then yes you need to look elsewhere.

Markdown isn't really a formatting tool. it is a way to structure text in the minimal way that a person would interpret it and a machine could render it.