As far as I know, there are none and personally I doubt there has ever been one. Underground habitations are possible and if memory does not fails me, I read something about an early Christian community whith several undergound levels. But these folks would still have to get out of their holes to obtain food (how could they have an underground farm?). Not to mention the accumulation of various types of garbage (food remains, pee and poop included) that have to be somehow removed.
Note also that quite often ancient "underground" habitations were actually dug at cliff faces, such as Petra.
Anyway, consider the following:
- If you are digging a tunnel, the material you removed (that by the way will have a larger volume than the tunnel) will have to be left somewhere. This is a classic "surface fingerprint" of undergound mines; an underground city would be surrounded by piles of such waste material.
- A cavern (natural or not) big enough to hold a self-sustainable community would have to be pretty huge. Besides the obvious structural challenges to keep the integrity of such a void, chances are it would create a weird geophysical (gravimetric and possibly magnetometric) anomaly. Depending on its location, regional aerogeophysical surveys could have detected such hypothetic structure.
- Our physiology needs sunlight; our psichology also needs sunlight (and open spaces).
- Assuming the above issues were somehow solved, you still remain with the problems on how to provide food, deal with waste and have an environment suitable for living. Of course theoretically your underground population could just buy their food from their neighbours. But what about illumination? OK, light some fires, but what about air circulation? And the fuel (wood and oil) for the fires? Buy again? To sum up, it would, in my opinion be very hard if not impossible to keep an underground village with ancient technology; actually I think even with early XX century technology odds are it would be a failure...