My Co-worker and I always walk through an underground walkway

you could say that "You are going through the walkway"

English can get complicated

if you are going to say that you are "Going under", you would often have to state what you are going under.

An underground walkway is sometimes known as an "underpass"

So you could say "you are going through the underpass" or that you will "use the underpass"

I hope all that doesn't confuse things too much

Though it may be acceptable in an informal context, it may be best to simply say the entire phrase:

"Jane, are we going to go through the underground walkway today?"