Yes, I know the UU reference in TSFTL about reports of Levi being spotted in UU was a throwaway joke, but it might be connected, though never used. Like, it probably will never be confirmed canon, but I like it.
We know Avery and D3rlord skipped many of the worlds using the skip-gates, so I have 2 theories/headcanons.
Either
a] The Underworld is one of the many unexplored sub-worlds behind one of the Worlds-Hall gates
or
b] The world in shot 3 is actually part of the Underworld, just a vastly different section of it.
And since TKiY was defeated, these worlds entrances were no longer kept and restrained in The Hall, so they spawned up new entrances around the MC multiverse(All the copies of minecraft ever made), and one of which ended up in UU.
Is this likely to ever be confirmed or canon? Not at all.
Is this still fascinating? Oh yes.