First of all "Anything" can be done, you just have to toy with it or sucker soneone else into doing all the hard work for you!
If your going to place a building two stories tall underground and one story above ground then you need to make the mountains a "LOT" higher if you want to fit stuff like that in it.
If you just want to place an entrance to the under mountain area use "No Draw" tiles not cave entrance tiles, it will leave a much cleaner opening and require less room to use. You can also place an invisible teleporter pad to move people back and forth like the entrance to Hythloth in UO.
You can post screen shots so we can see what your talking about, that would help in case the above doesnt help.
Dev