Other towns - Wichita, Dodge City, Abilene, and others - were just as wild and wooly. They didn't need to hide the action from the law. I doubt that was the intention here.
IIRC, St. Louis has an underground section. It could well be that both metropolitan areas built over the earlier and older sections. One would think, though, that something would exist in the city's history to explain this.
This couldn't be true for Leavenworth. The title building that provides the modern access to the underground is one of the oldest buildings in town, built shortly after the city's founding.