The Formatting extension does include an Underline as well as Bold and Italic. It works by simply pressing ⌘U for you so it works anywhere that has such an underline option.
If you want just Underline, the following snippet will do it:
# popclip
name: Underline
icon: symbol:underline
key combo: command U
(The above block is an extension snippet - select it to install the extension with PopClip)