The definition on the Oxford Dictionary is a little bit confusing for me. The dictionary doesn't call it a proper noun, but the first letter is capitalised in the example.
Since I know the Underground as a transportation system specific to a place (e.g. London), I would expect it to be a proper noun. Checking the dictionary didn't help me.
- (often the Underground) British An underground railway, especially the one in London.
‘travel chaos on the Underground’
Is it a proper noun or a common noun?