It's called the 'learning curve'...
In the 19th century, incoming trains to Euston Station from Birmingham had their engines detached in Camden Town and were pulled into a large storage area underneath the station, more to the point, underneath Euston Road. Trains to Birmingham were assembled there and pulled up into the station by rope.
The Warren Street tube station was a latecomer, arriving in the 20th century, but the storage area was still being used as a turn-around facility for incoming trains. So there was no place to situate a passenger tunnel without having to go too deep or too far around.
If you have ever taken the #1 train in Manhattan to the Battery and rode while it turned around, it is similar to that in appearance except there is no facility for a train to turn around under its own power.
British Rail ran a public consultation about station refurbishments in the early 1960's, and the 'public' wanted a car park built underneath the station more than anything else. When HM reopened Euston Station in 1968, parts of the original storage area were still there but unused. Trains running in and out of Euston are bidirectional in the modern era so its ongoing value is dubious. The last time the general public had any awareness at all of that area underneath Euston Road was in the aftermath of the 7/7 attacks when it was used as a repair point.
Since Euston Station was the first London rail station to serve as a terminal point for a national rail line, they learned from this 'mistake' and main line stations in Central London that followed used a different strategy to deal with arriving trains. That's why you observe the anomaly at Euston, but not at other stations that were built later.
If you want to take up advocacy for having a tunnel built, the relevant consumer lobby is Transport Focus. Gagravarr pointed out that the Crossrail2 project may hold possibilities, but it's also reasonable to expect relentless and unyielding opposition from the Bloomsbury Ward.
Our view is that this site is not suitable for a station entrance and
we are concerned about any machinery or ventilation equipment that may
be installed here as it could cause a noise nuisance. We are also
concerned that any future works could cause a noise nuisance. It
should be noted that local residents have had to endure the noise from
Crossrail works as well as the redevelopment of the opportunity area
around Tottenham Court Road Station.